UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-07988

LORD ABBETT INVESTMENT TRUST

(Exact name of Registrant as specified in charter)

90 Hudson Street, Jersey City, NJ 07302

(Address of principal executive offices) (Zip code)

Brooke A. Fapohunda, Esq., Vice President & Assistant Secretary

90 Hudson Street, Jersey City, NJ 07302

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 201-6984

Date of fiscal year end: 11/30

Date of reporting period: 5/31/2015

Item 1: Report(s) to Shareholders.

2015 LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Core Fixed Income Fund
Total Return Fund

For the six-month period ended May 31, 2015

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
	Schedules of Investments
6	Core Fixed Income Fund
25	Total Return Fund
52	Statements of Assets and Liabilities
54	Statements of Operations
55	Statements of Changes in Net Assets
57	Financial Highlights
73	Notes to Financial Statements
89	Supplemental Information to Shareholders

Lord Abbett Investment Trust

Lord Abbett Core Fixed Income Fund
and Lord Abbett Total Return Fund
Semiannual Report

For the six-month period ended May 31, 2015

Daria L. Foster, Trustee, President and Chief Executive Officer of the Lord Abbett Funds, and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.

Dear Shareholders: We are pleased to provide you with this semiannual report for the Funds for the six-month period ended May 31, 2015. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website.

Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.

Best regards,

Daria L. Foster
Trustee, President and Chief Executive Officer

1

Expense Examples

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2014 through May 31, 2015).

Actual Expenses

For each class of each Fund, the first line of the table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During the Period 12/1/14 –5/31/15” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

For each class of each Fund, the second line of the table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

2

Core Fixed Income Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value	Ending Account Value	Expenses Paid During Period†
	12/1/14	5/31/15	12/1/14 – 5/31/15
Class A
Actual	$1,000.00	$1,009.70	$3.21
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.74	$3.23
Class B
Actual	$1,000.00	$1,004.80	$7.20
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.75	$7.24
Class C
Actual	$1,000.00	$1,006.70	$6.25
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.70	$6.29
Class F
Actual	$1,000.00	$1,009.30	$2.71
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.24	$2.72
Class I
Actual	$1,000.00	$1,010.70	$2.21
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.74	$2.22
Class P
Actual	$1,000.00	$1,008.80	$4.31
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.64	$4.33
Class R2
Actual	$1,000.00	$1,006.80	$5.20
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.75	$5.24
Class R3
Actual	$1,000.00	$1,008.30	$4.66
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.29	$4.68

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.64% for Class A, 1.44% for Class B, 1.25% for Class C, 0.54% for Class F, 0.44% for Class I, 0.86% for Class P, 1.04% for Class R2 and 0.93% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

May 31, 2015

Sector*	%**
Auto	0.33	%
Basic Industry	0.36	%
Consumer Cyclical	1.85	%
Consumer Discretionary	0.31	%
Consumer Services	0.98	%
Consumer Staples	0.43	%
Energy	2.46	%
Financial Services	28.25	%
Foreign Government	2.15	%
Health Care	1.75	%

Sector*	%**
Integrated Oils	1.55	%
Materials & Processing	1.57	%
Municipal	0.54	%
Producer Durables	0.81	%
Technology	0.87	%
Telecommunications	1.17	%
Transportation	0.38	%
U.S. Government	49.07	%
Utilities	1.29	%
Repurchase Agreement	3.88	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

3

Total Return Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value	Ending Account Value	Expenses Paid During Period†
	12/1/14	5/31/15	12/1/14 – 5/31/15
Class A*
Actual	$1,000.00	$1,009.40	$3.36
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.59	$3.38
Class B*
Actual	$1,000.00	$1,005.40	$7.35
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.60	$7.39
Class C*
Actual	$1,000.00	$1,006.20	$6.50
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.45	$6.54
Class F*
Actual	$1,000.00	$1,009.90	$2.86
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.09	$2.87
Class I*
Actual	$1,000.00	$1,010.40	$2.36
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.59	$2.37
Class P*
Actual	$1,000.00	$1,008.20	$4.61
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.34	$4.63
Class R2*
Actual	$1,000.00	$1,007.40	$5.36
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.60	$5.39
Class R3*
Actual	$1,000.00	$1,007.90	$4.86
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.09	$4.89

†	For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.67% for Class A, 1.47% for Class B, 1.30% for Class C, 0.57% for Class F, 0.47% for Class I, 0.92% for Class P, 1.07% for Class R2 and 0.97% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).
*	The annualized expenses have been updated (0.68% for Class A, 1.48% for Class B, 1.31% for Class C, 0.58% for Class F, 0.48% for Class I, 0.93% for Class P, 1.08% for Class R2, and 0.98% for Class R3). Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been:

	Actual		Hypothetical (5% Return Before Expenses)
Class A		$3.41		$3.43
Class B		$7.40		$7.44
Class C		$6.55		$6.59
Class F		$2.91		$2.92
Class I		$2.41		$2.42
Class P		$4.66		$4.68
Class R2		$5.41		$5.44
Class R3		$4.91		$4.94

4

Portfolio Holdings Presented by Sector

May 31, 2015  

Sector*	%**
Auto	0.49	%
Basic Industry	0.80	%
Consumer Cyclical	2.91	%
Consumer Discretionary	0.34	%
Consumer Non-Cyclical	0.04	%
Consumer Services	1.12	%
Consumer Staples	0.92	%
Energy	3.81	%
Financial Services	29.91	%
Foreign Government	3.90	%
Health Care	2.20	%

Sector*	%**
Integrated Oils	1.24	%
Materials & Processing	1.82	%
Municipal	0.42	%
Producer Durables	0.78	%
Technology	1.43	%
Telecommunications	1.76	%
Transportation	0.53	%
U.S. Government	41.25	%
Utilities	1.75	%
Repurchase Agreement	2.58	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

5

Schedule of Investments (unaudited)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
LONG-TERM INVESTMENTS 105.98%
ASSET-BACKED SECURITIES 20.70%
Automobiles 8.66%
Ally Auto Receivables Trust 2012-5 A3	0.62%	3/15/2017	$	319	$	319,531
Ally Auto Receivables Trust 2013-1 A3	0.63%	5/15/2017		1,771		1,771,546
Ally Auto Receivables Trust 2013-SN1 A3	0.72%	5/20/2016		454		454,286
Ally Auto Receivables Trust 2014-1 A2	0.48%	2/15/2017		3,254		3,252,967
Ally Auto Receivables Trust 2014-2 A3	1.25%	4/15/2019		3,765		3,778,343
AmeriCredit Automobile Receivables Trust 2012-4 A3	0.67%	6/8/2017		756		755,965
AmeriCredit Automobile Receivables Trust 2013-1 A3	0.61%	10/10/2017		1,284		1,283,830
AmeriCredit Automobile Receivables Trust 2013-2 A3	0.65%	12/8/2017		2,500		2,498,623
AmeriCredit Automobile Receivables Trust 2013-5 A2A	0.65%	3/8/2017		204		204,211
AmeriCredit Automobile Receivables Trust 2013-5 A3	0.90%	9/10/2018		1,234		1,235,480
AmeriCredit Automobile Receivables Trust 2014-4 A2A	0.72%	4/9/2018		2,538		2,538,786
Avis Budget Rental Car Funding AESOP LLC 2011-3A A†	3.41%	11/20/2017		1,047		1,077,633
Avis Budget Rental Car Funding AESOP LLC 2011-5A A†	3.27%	2/20/2018		1,049		1,081,580
Avis Budget Rental Car Funding AESOP LLC 2012-2A A†	2.802%	5/20/2018		3,164		3,243,407
Avis Budget Rental Car Funding AESOP LLC 2014-1A A†	2.46%	7/20/2020		1,063		1,074,650
Avis Budget Rental Car Funding AESOP LLC 2014-2A A†	2.50%	2/20/2021		758		764,510
Avis Budget Rental Car Funding AESOP LLC 2015-2A A†	2.63%	12/20/2021		2,113		2,112,577
BMW Vehicle Lease Trust 2015-1 A3	1.24%	12/20/2017		3,905		3,915,834
California Republic Auto Receivables Trust 2014-2 A2	0.54%	3/15/2017		1,287		1,286,880
California Republic Auto Receivables Trust 2014-4 A2	0.77%	9/15/2017		3,620		3,621,428
California Republic Auto Receivables Trust 2015-1 A2	0.88%	12/15/2017		3,900		3,903,180
Capital Auto Receivables Asset Trust 2013-2 A2	0.92%	9/20/2016		541		540,887

6 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Automobiles (continued)
Capital Auto Receivables Asset Trust 2015-2 A1A	0.99%	10/20/2017	$	4,063	$	4,063,788
Capital Auto Receivables Asset Trust 2015-2 A2	1.39%	9/20/2018		1,704		1,705,101
CarFinance Capital Auto Trust 2014-1A A†	1.46%	12/17/2018		297		296,425
CarMax Auto Owner Trust 2012-2 A3	0.84%	3/15/2017		816		816,943
CarMax Auto Owner Trust 2013-2 A3	0.64%	1/16/2018		535		535,334
CarMax Auto Owner Trust 2013-3 A3	0.97%	4/16/2018		2,631		2,637,116
CarMax Auto Owner Trust 2013-4 A2	0.52%	11/15/2016		400		400,384
CarMax Auto Owner Trust 2015-2 A2A	0.82%	6/15/2018		1,113		1,113,619
CarMax Auto Owner Trust 2015-2 A4	1.80%	3/15/2021		2,154		2,163,159
Chrysler Capital Auto Receivables Trust 2013-BA A3†	0.85%	5/15/2018		2,259		2,262,394
Chrysler Capital Auto Receivables Trust 2014-BA A2†	0.69%	9/15/2017		3,383		3,383,024
Chrysler Capital Auto Receivables Trust 2015-AA A3†	1.22%	7/15/2019		3,750		3,751,288
Drive Auto Receivables Trust 2015-BA B†	2.12%	6/17/2019		1,336		1,339,356
Fifth Third Auto Trust 2014-3 A3	0.96%	3/15/2019		2,900		2,894,967
Ford Credit Auto Owner Trust 2012-D A3	0.51%	4/15/2017		498		498,108
Ford Credit Auto Owner Trust 2013-D A3	0.67%	4/15/2018		309		309,180
GM Financial Automobile Leasing Trust 2014-2A A3†	1.22%	1/22/2018		2,020		2,021,974
Honda Auto Receivables Owner Trust 2013-2 A3	0.53%	2/16/2017		1,121		1,121,089
Honda Auto Receivables Owner Trust 2013-4 A3	0.69%	9/18/2017		3,133		3,135,173
Hyundai Auto Lease Securitization Trust 2013-A A3†	0.66%	6/15/2016		682		681,665
Hyundai Auto Lease Securitization Trust 2014-A A2†	0.52%	7/15/2016		2,130		2,129,837
Hyundai Auto Lease Securitization Trust 2014-B A2†	0.61%	2/15/2017		2,829		2,828,678
Hyundai Auto Receivables Trust 2013-A A3	0.56%	7/17/2017		1,997		1,997,387
Hyundai Auto Receivables Trust 2015-A A2	0.68%	10/16/2017		3,105		3,107,388
M&T Bank Auto Receivables Trust 2013-1A A3†	1.06%	11/15/2017		4,182		4,191,982
Mercedes-Benz Auto Lease Trust 2013-B A3	0.62%	7/15/2016		516		516,295
Mercedes-Benz Auto Lease Trust 2014-A A3	0.68%	12/15/2016		3,800		3,802,227
Nissan Auto Lease Trust 2013-A A3	0.61%	4/15/2016		559		558,716
Nissan Auto Receivables Owner Trust 2013-A A3	0.50%	5/15/2017		514		513,749
Porsche Innovative Lease Owner Trust 2014-1 A3†	1.03%	11/20/2017		3,407		3,415,829
Santander Drive Auto Receivables Trust 2013-4 A3	1.11%	12/15/2017		1,370		1,371,550
Santander Drive Auto Receivables Trust 2014-1 A2A	0.66%	6/15/2017		311		311,452
Volkswagen Auto Loan Enhanced Trust 2012-2 A3	0.46%	1/20/2017		299		298,865
Volkswagen Auto Loan Enhanced Trust 2014-2 A2	0.53%	7/20/2017		5,805		5,805,746
World Omni Auto Receivables Trust 2013-B A2	0.48%	11/15/2016		175		175,153
World Omni Auto Receivables Trust 2014-B A2A	0.60%	1/16/2018		2,695		2,695,037

See Notes to Financial Statements. 7

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Automobiles (continued)
World Omni Automobile Lease Securitization Trust 2013-A A2A	0.73%		5/16/2016	$	202	$	201,804
World Omni Automobile Lease Securitization Trust 2013-A A3	1.10%		12/15/2016		4,530		4,541,785
World Omni Automobile Lease Securitization Trust 2014-A A3	1.16%		9/15/2017		1,195		1,200,005
Total							115,509,706
Credit Cards 5.07%
American Express Credit Account Master Trust 2012-2 A	0.68%		3/15/2018		5,160		5,162,118
Bank of America Credit Card Trust 2014-A3 A	0.476%	#	1/15/2020		3,265		3,269,271
Barclays Dryrock Issuance Trust 2012-2 A	0.64%		8/15/2018		1,350		1,350,399
Capital One Multi-Asset Execution Trust 2014-A2	1.26%		1/15/2020		3,245		3,262,739
Capital One Multi-Asset Execution Trust 2015-A2	2.08%		3/15/2023		4,378		4,406,153
Chase Issuance Trust 2012-A3	0.79%		6/15/2017		6,065		6,065,952
Chase Issuance Trust 2012-A5	0.59%		8/15/2017		5,125		5,126,130
Chase Issuance Trust 2012-A8	0.54%		10/16/2017		3,675		3,675,558
Chase Issuance Trust 2013-A8	1.01%		10/15/2018		1,850		1,856,056
Citibank Credit Card Issuance Trust 2003-A7	4.15%		7/7/2017		3,066		3,077,925
Citibank Credit Card Issuance Trust 2006-A3	5.30%		3/15/2018		3,170		3,288,328
Citibank Credit Card Issuance Trust 2012-A1	0.55%		10/10/2017		5,140		5,140,761
Citibank Credit Card Issuance Trust 2013-A6	1.32%		9/7/2018		4,530		4,563,492
Discover Card Execution Note Trust 2012-B3	0.636%	#	5/15/2018		1,650		1,649,577
Synchrony Credit Card Master Note Trust 2011-2 A	0.666%	#	5/15/2019		3,205		3,211,062
Synchrony Credit Card Master Note Trust 2012-5 A	0.95%		6/15/2018		6,425		6,426,189
Synchrony Credit Card Master Note Trust 2012-6 A	1.36%		8/17/2020		3,264		3,270,215
World Financial Network Credit Card Master Trust 2013-B A	0.91%		3/16/2020		511		511,795
World Financial Network Credit Card Master Trust 2014-A	0.566%	#	12/15/2019		2,410		2,412,012
Total							67,725,732
Other 6.97%
Ares IIIR/IVR CLO Ltd. 2007-3RA A2†	0.496%	#	4/16/2021		1,301		1,288,105
Avenue CLO VI Ltd. 2007-6A A2†	0.624%	#	7/17/2019		1,250		1,241,031
Avery Point IV CLO Ltd. 2014-1A A†	1.797%	#	4/25/2026		2,500		2,504,978

8 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
BlueMountain CLO Ltd. 2014-3A A1†	1.727%	#	10/15/2026	$	1,900	$	1,894,941
Carlyle Global Market Strategies 2015-2A A1†	1.744%	#	4/27/2027		3,000		2,990,712
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1†	1.752%	#	10/15/2026		2,000		2,002,649
Cent CDO XI Ltd. 2006-11A A1†	0.537%	#	4/25/2019		1,474		1,454,497
Cent CLO 2013-17A A1†	1.555%	#	1/30/2025		1,700		1,687,950
CIFC Funding II Ltd. 2014-2A A1L†	1.762%	#	5/24/2026		1,300		1,300,530
CNH Equipment Trust 2015-B A4	1.89%		4/15/2022		1,294		1,293,741
Dryden XXIII Senior Loan Fund 2012-23RA A1R†	1.525%	#	7/17/2023		2,250		2,237,538
Fore CLO Ltd. 2007-1A A2†	0.725%	#	7/20/2019		850		844,871
Fraser Sullivan CLO II Ltd. 2006-2A A2†	0.57%	#	12/20/2020		1,500		1,495,438
Galaxy XVIII CLO Ltd. 2014-18A A†	1.733%	#	10/15/2026		3,500		3,489,050
Gleneagles CLO Ltd. 2005-1A B†	0.828%	#	11/1/2017		600		595,736
GMF Floorplan Owner Revolving Trust 2015-1 A1†	1.65%		5/15/2020		1,942		1,945,514
GMF Floorplan Owner Revolving Trust 2015-1 B†	1.97%		5/15/2020		1,385		1,387,168
Harch CLO III Ltd. 2007-1A B†	0.679%	#	4/17/2020		750		743,602
HLSS Servicer Advance Receivables Backed Notes 2013-T5 AT5†	1.979%		8/15/2046		2,000		2,004,181
HLSS Servicer Advance Receivables Backed Notes 2013-T7 AT7†	1.981%		11/15/2046		1,500		1,492,705
HLSS Servicer Advance Receivables Backed Notes 2013-T7 BT7†	2.229%		11/15/2046		3,500		3,491,005
HLSS Servicer Advance Receivables Trust 2012-T2 A2†	1.99%		10/15/2045		590		590,021
HLSS Servicer Advance Receivables Trust 2012-T2 B2†	2.48%		10/15/2045		865		865,093
HLSS Servicer Advance Receivables Trust 2012-T2 D2†	4.94%		10/15/2045		360		360,099
HLSS Servicer Advance Receivables Trust 2013-T1 A2†	1.495%		1/16/2046		580		579,515
HLSS Servicer Advance Receivables Trust 2013-T1 B2†	1.744%		1/16/2046		1,850		1,850,673
HLSS Servicer Advance Receivables Trust 2013-T1 B3†	2.734%		1/15/2048		1,150		1,149,074
Jackson Mill CLO Ltd. 2015-1A A†	1.814%	#	4/15/2027		1,150		1,153,335
JFIN Revolver CLO Ltd. 2013-1A A†	1.525%	#	1/20/2021		1,193		1,193,932
JFIN Revolver CLO Ltd. 2014-2A A2†	1.576%	#	2/20/2022		850		846,281
JFIN Revolver CLO Ltd. 2015-3A A1†	1.775%	#	4/20/2023		3,000		2,997,988
KKR Financial CLO Ltd. 2007-1A A†	0.624%	#	5/15/2021		1,290		1,284,186
KKR Financial CLO Ltd. 2007-1A B†	1.024%	#	5/15/2021		1,250		1,224,943

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
Leaf Receivables Funding 10 LLC 2015-1 A4†	2.03%		8/17/2020	$	1,885	$	1,888,657
Madison Park Funding IX Ltd. 2012-9AR B1R†	2.15%	#	8/15/2022		1,250		1,250,848
Marathon CLO IV Ltd. 2012-4A A1†	1.666%	#	5/20/2023		3,600		3,598,127
Nationstar Mortgage Advance Receivables Trust 2013-T3A A3†	2.438%		6/20/2048		1,600		1,593,381
NZCG Funding Ltd. 2015-2A A1†	1.812%	#	4/27/2027		1,500		1,496,630
Oaktree CLO Ltd. 2014-2A A1A†	1.805%	#	10/20/2026		3,000		2,997,694
Octagon Investment Partners XIX Ltd. 2014-1A A†	1.773%	#	4/15/2026		1,500		1,503,021
Octagon Loan Funding Ltd. 2014-1A A1†	1.726%	#	11/18/2026		1,275		1,273,789
OHA Loan Funding Ltd. 2015-1A A†	1.769%	#	2/15/2027		3,000		2,989,695
Shackleton CLO Ltd. 2014-5A A†	1.776%	#	5/7/2026		1,800		1,802,168
SLM Private Education Loan Trust 2010-A 2A†	3.436%	#	5/16/2044		1,546		1,635,538
SLM Private Education Loan Trust 2011-B A1†	1.036%	#	12/16/2024		2,560		2,566,554
SLM Private Education Loan Trust 2012-A A1†	1.586%	#	8/15/2025		397		401,049
SLM Private Education Loan Trust 2012-C A1†	1.286%	#	8/15/2023		2,800		2,811,954
SLM Private Education Loan Trust 2012-E A1†	0.936%	#	10/16/2023		2,769		2,776,037
Stone Tower CLO VI Ltd. 2007-6A A2B†	0.594%	#	4/17/2021		1,750		1,714,268
Treman Park CLO LLC 2015-1A A†	1.761%	#	4/20/2027		1,300		1,298,529
Tryon Park CLO Ltd. 2013-1A A1†	1.395%	#	7/15/2025		1,000		984,117
Venture XVI CLO Ltd. 2014-16A A1L†	1.753%	#	4/15/2026		3,746		3,739,986
Venture XVIII CLO Ltd. 2014-18A A†	1.703%	#	10/15/2026		2,000		1,991,904
Westchester CLO Ltd. 2007-1A A1A†	0.503%	#	8/1/2022		1,165		1,156,784
Total							92,951,812
Total Asset-Backed Securities (cost $276,032,663)							276,187,250
CORPORATE BONDS 25.62%
Automotive 0.33%
Ford Motor Co.	6.375%		2/1/2029		697		856,051
Ford Motor Co.	6.625%		10/1/2028		1,311		1,647,170
Ford Motor Co.	7.45%		7/16/2031		670		875,103
Kia Motors Corp. (South Korea)†(a)	3.625%		6/14/2016		1,000		1,023,465
Total							4,401,789
Banks: Money Center 0.28%
Barclays plc (United Kingdom)(a)	3.65%		3/16/2025		3,047		2,988,814
Export-Import Bank of Korea (South Korea)(a)	3.75%		10/20/2016		650		673,936
Zions Bancorporation	4.50%		6/13/2023		121		126,871
Total							3,789,621

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Banks: Regional 2.63%
Citigroup, Inc.	5.50%	9/13/2025	$	6,018	$	6,722,858
Goldman Sachs Group, Inc. (The)	3.75%	5/22/2025		2,470		2,494,799
Goldman Sachs Group, Inc. (The)	5.95%	1/15/2027		2,911		3,370,487
HBOS plc (United Kingdom)†(a)	6.00%	11/1/2033		1,232		1,393,425
JPMorgan Chase & Co.	3.875%	9/10/2024		7,551		7,608,229
Lloyds Bank plc (United Kingdom)†(a)	6.50%	9/14/2020		1,993		2,341,387
Macquarie Bank Ltd. (Australia)†(a)	6.625%	4/7/2021		2,231		2,616,530
Morgan Stanley	4.10%	5/22/2023		418		430,121
Morgan Stanley	4.35%	9/8/2026		2,281		2,325,347
Morgan Stanley	5.00%	11/24/2025		1,201		1,300,081
Wells Fargo & Co.	4.10%	6/3/2026		4,379		4,525,395
Total						35,128,659
Beverages 0.03%
Corporacion Lindley SA (Peru)†(a)	4.625%	4/12/2023		354		346,920
Biotechnology Research & Production 0.37%
Amgen, Inc.	6.40%	2/1/2039		4,053		4,969,529
Broadcasting 0.39%
21st Century Fox America, Inc.	6.20%	12/15/2034		1,268		1,540,295
21st Century Fox America, Inc.	6.90%	8/15/2039		1,177		1,545,965
Cox Communications, Inc.†	8.375%	3/1/2039		1,585		2,127,292
Total						5,213,552
Brokers 0.31%
Jefferies Group LLC	6.875%	4/15/2021		3,625		4,191,769
Building Materials 0.02%
Owens Corning	9.00%	6/15/2019		199		239,655
Business Services 0.23%
Expedia, Inc.	4.50%	8/15/2024		3,000		3,075,132
Cable Services 0.46%
Comcast Corp.	4.40%	8/15/2035		950		979,022
Time Warner Cable, Inc.	7.30%	7/1/2038		4,418		5,166,338
Total						6,145,360
Chemicals 0.75%
Alfa SAB de CV (Mexico)†(a)	5.25%	3/25/2024		900		949,500
Israel Chemicals Ltd. (Israel)†(a)	4.50%	12/2/2024		1,500		1,550,100

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Chemicals (continued)
Methanex Corp. (Canada)(a)	5.25%	3/1/2022	$	1,157	$	1,259,022
Mexichem SAB de CV (Mexico)†(a)	4.875%	9/19/2022		550		579,700
Montell Finance Co. BV (Netherlands)†(a)	8.10%	3/15/2027		2,300		3,127,625
NewMarket Corp.	4.10%	12/15/2022		1,532		1,574,850
OCP SA (Morocco)†(a)	6.875%	4/25/2044		865		944,104
Total						9,984,901
Communications Equipment 0.03%
Harris Corp.	4.854%	4/27/2035		445		440,087
Communications Technology 0.21%
Motorola Solutions, Inc.	3.75%	5/15/2022		2,757		2,759,718
Construction/Homebuilding 0.09%
Odebrecht Finance Ltd.†	5.25%	6/27/2029		800		708,560
Odebrecht Finance Ltd.†	7.125%	6/26/2042		530		490,913
Total						1,199,473
Consumer Products 0.15%
Tupperware Brands Corp.	4.75%	6/1/2021		1,886		2,019,021
Copper 0.05%
Southern Copper Corp. (Mexico)(a)	3.875%	4/23/2025		225		220,730
Southern Copper Corp. (Mexico)(a)	5.875%	4/23/2045		450		441,180
Total						661,910
Data Product, Equipment & Communications 0.10%
Fidelity National Information Services, Inc.	5.00%	3/15/2022		1,250		1,320,141
Diversified 0.06%
Hutchison Whampoa International 14 Ltd.
(Hong Kong)†(a)	3.625%	10/31/2024		830		847,480
Drugs 0.26%
Actavis Funding SCS (Luxembourg)(a)	4.55%	3/15/2035		1,711		1,701,736
Express Scripts Holding Co.	6.125%	11/15/2041		1,465		1,796,017
Total						3,497,753
Electric: Power 0.70%
CEZ AS (Czech Republic)†(a)	4.25%	4/3/2022		750		798,662
E.CL SA (Chile)†(a)	4.50%	1/29/2025		960		998,732
Empresa Electrica Guacolda SA (Chile)†(a)	4.56%	4/30/2025		200		198,392
Empresas Publicas de Medellin ESP (Colombia)†(a)	7.625%	7/29/2019		1,400		1,656,375

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Electric: Power (continued)
Entergy Corp.	5.125%	9/15/2020	$	2,363	$	2,604,756
Lamar Funding Ltd.†	3.958%	5/7/2025		1,000		1,005,000
Texas-New Mexico Power Co.†	9.50%	4/1/2019		1,650		2,062,802
Total						9,324,719
Electronics 0.13%
PerkinElmer, Inc.	5.00%	11/15/2021		1,564		1,743,158
Electronics: Semi-Conductors/Components 0.20%
KLA-Tencor Corp.	4.65%	11/1/2024		2,600		2,667,974
Energy Equipment & Services 0.59%
Energy Transfer Partners LP	6.625%	10/15/2036		960		1,063,573
Energy Transfer Partners LP	7.50%	7/1/2038		1,263		1,535,739
Energy Transfer Partners LP	9.00%	4/15/2019		1,865		2,291,688
IFM US Colonial Pipeline 2 LLC†	6.45%	5/1/2021		2,710		2,961,919
Total						7,852,919
Engineering & Contracting Services 0.14%
China Railway Resources Huitung Ltd. (Hong Kong)(a)	3.85%	2/5/2023		1,800		1,839,353
Entertainment 0.19%
Viacom, Inc.	6.875%	4/30/2036		2,165		2,537,584
Financial Services 2.62%
Air Lease Corp.	3.875%	4/1/2021		1,000		1,032,500
Air Lease Corp.	4.25%	9/15/2024		1,275		1,294,125
Bank of America Corp.	4.20%	8/26/2024		5,350		5,445,396
Bank of America Corp.	4.25%	10/22/2026		1,950		1,967,168
Denali Borrower LLC/Denali Finance Corp.†	5.625%	10/15/2020		3,101		3,298,689
Dun & Bradstreet Corp. (The)	4.375%	12/1/2022		2,216		2,305,176
General Electric Capital Corp.	6.75%	3/15/2032		6,900		9,313,648
Lender Processing Services, Inc.	5.75%	4/15/2023		2,266		2,413,290
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	5.875%	3/15/2022		1,217		1,312,839
Santander UK plc (United Kingdom)(a)	7.95%	10/26/2029		2,615		3,409,596
Scottrade Financial Services, Inc.†	6.125%	7/11/2021		2,177		2,378,575
Western Union Co. (The)	3.35%	5/22/2019		780		802,690
Total						34,973,692

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Financial: Miscellaneous 0.08%
Wells Fargo Bank NA	5.85%	2/1/2037	$	880	$	1,089,979
Food 0.16%
Flowers Foods, Inc.	4.375%	4/1/2022		625		662,491
JM Smucker Co. (The)†	4.25%	3/15/2035		1,481		1,443,864
Total						2,106,355
Food/Beverage 0.03%
Sigma Alimentos SA de CV (Mexico)†(a)	6.875%	12/16/2019		313		365,021
Health Care 0.15%
Zoetis, Inc.	3.25%	2/1/2023		2,088		2,050,124
Health Care Products 0.68%
Forest Laboratories, Inc.†	4.375%	2/1/2019		3,765		4,022,089
Forest Laboratories, Inc.†	5.00%	12/15/2021		3,344		3,675,558
Zimmer Holdings, Inc.	4.25%	8/15/2035		1,408		1,372,273
Total						9,069,920
Health Care Services 0.36%
Omega Healthcare Investors, Inc.	4.95%	4/1/2024		607		635,086
Omega Healthcare Investors, Inc.	5.875%	3/15/2024		2,533		2,703,978
Senior Housing Properties Trust	6.75%	12/15/2021		1,250		1,447,551
Total						4,786,615
Insurance 0.61%
Symetra Financial Corp.†	6.125%	4/1/2016		965		997,377
Teachers Insurance & Annuity Association of America†	4.90%	9/15/2044		4,782		5,134,921
Willis North America, Inc.	7.00%	9/29/2019		1,675		1,932,933
Total						8,065,231
Leasing 0.42%
Aviation Capital Group Corp.†	6.75%	4/6/2021		1,314		1,524,312
Aviation Capital Group Corp.†	7.125%	10/15/2020		3,494		4,096,334
Total						5,620,646
Leisure 0.12%
Carnival plc (United Kingdom)(a)	7.875%	6/1/2027		1,230		1,576,204
Lodging 0.77%
Host Hotels & Resorts LP	3.75%	10/15/2023		835		837,510
Host Hotels & Resorts LP	4.00%	6/15/2025		700		716,167

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Lodging (continued)
Host Hotels & Resorts LP	5.25%	3/15/2022	$	4,740	$	5,233,027
Hyatt Hotels Corp.†	6.875%	8/15/2019		1,554		1,808,736
Starwood Hotels & Resorts Worldwide, Inc.	4.50%	10/1/2034		1,750		1,681,815
Total						10,277,255
Machinery: Agricultural 0.73%
Imperial Tobacco Finance plc (United Kingdom)†(a)	3.50%	2/11/2023		1,487		1,487,269
Lorillard Tobacco Co.	6.875%	5/1/2020		1,184		1,392,954
Lorillard Tobacco Co.	8.125%	6/23/2019		1,152		1,398,717
Lorillard Tobacco Co.	8.125%	5/1/2040		1,550		2,096,496
Viterra, Inc. (Canada)†(a)	5.95%	8/1/2020		2,950		3,308,496
Total						9,683,932
Manufacturing 0.17%
Hillenbrand, Inc.	5.50%	7/15/2020		474		517,477
Trinity Industries, Inc.	4.55%	10/1/2024		1,771		1,735,729
Total						2,253,206
Media 0.69%
Discovery Communications LLC	6.35%	6/1/2040		1,650		1,890,606
Globo Comunicacao e Participacoes SA (Brazil)†(a)	4.875%	4/11/2022		2,809		2,928,383
Globo Comunicacao e Participacoes SA (Brazil) (7.25% after 5/11/2017)†~(a)	5.307%	5/11/2022		1,855		1,943,113
Time Warner, Inc.	7.625%	4/15/2031		1,835		2,464,757
Total						9,226,859
Metals & Minerals: Miscellaneous 0.16%
Barrick International Barbados Corp. (Barbados)†(a)	6.35%	10/15/2036		1,250		1,289,741
Goldcorp, Inc. (Canada)(a)	5.45%	6/9/2044		831		826,907
Total						2,116,648
Natural Gas 0.44%
Fermaca Enterprises S de RL de CV (Mexico)†(a)	6.375%	3/30/2038		1,787		1,892,351
GNL Quintero SA (Chile)†(a)	4.634%	7/31/2029		450		462,096
Kinder Morgan, Inc.	7.75%	1/15/2032		172		203,639
Kinder Morgan, Inc.	8.05%	10/15/2030		367		443,811
SourceGas LLC†	5.90%	4/1/2017		886		942,270
Tennessee Gas Pipeline Co. LLC	8.375%	6/15/2032		1,000		1,248,240
Transportadora de Gas del Peru SA (Peru)†(a)	4.25%	4/30/2028		700		707,000
Total						5,899,407

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Oil 0.48%
Canadian Oil Sands Ltd. (Canada)†(a)	7.75%	5/15/2019	$	816	$	897,213
Canadian Oil Sands Ltd. (Canada)†(a)	7.90%	9/1/2021		403		449,560
Delek & Avner Tamar Bond Ltd. (Israel)†(a)	5.082%	12/30/2023		370		379,250
Halliburton Co.	6.70%	9/15/2038		326		424,634
KazMunayGas National Co. JSC (Kazakhstan)†(a)	4.875%	5/7/2025		250		230,875
Kunlun Energy Co., Ltd. (Hong Kong)†(a)	3.75%	5/13/2025		500		497,350
LUKOIL International Finance BV (Netherlands)†(a)	6.656%	6/7/2022		250		264,375
Petroleos Mexicanos (Mexico)†(a)	4.25%	1/15/2025		300		299,100
Plains All American Pipeline LP/PAA Finance Corp.	3.60%	11/1/2024		1,663		1,639,859
Valero Energy Corp.	10.50%	3/15/2039		830		1,339,936
Total						6,422,152
Oil: Crude Producers 1.21%
Apache Corp.	6.00%	1/15/2037		1,115		1,274,670
Columbia Pipeline Group, Inc.†	3.30%	6/1/2020		1,701		1,716,452
Enbridge Energy Partners LP	9.875%	3/1/2019		2,000		2,502,428
Enterprise Products Operating LLC	7.55%	4/15/2038		1,825		2,442,080
Kerr-McGee Corp.	7.125%	10/15/2027		925		1,173,883
Kerr-McGee Corp.	7.875%	9/15/2031		945		1,275,346
Ruby Pipeline LLC†	6.00%	4/1/2022		2,980		3,291,344
Southeast Supply Header LLC†	4.25%	6/15/2024		1,086		1,092,619
Transportadora de Gas Internacional SA ESP (Colombia)†(a)	5.70%	3/20/2022		1,250		1,338,750
Total						16,107,572
Oil: Integrated Domestic 0.90%
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.	6.75%	2/1/2022		2,064		2,203,320
Kinder Morgan Energy Partners LP	5.40%	9/1/2044		2,675		2,575,367
Kinder Morgan Energy Partners LP	7.40%	3/15/2031		1,300		1,497,762
Kinder Morgan Energy Partners LP	7.50%	11/15/2040		1,000		1,201,660
Korea National Oil Corp. (South Korea)†(a)	2.875%	11/9/2015		1,600		1,615,720
Rowan Cos., Inc.	7.875%	8/1/2019		2,548		2,876,542
Total						11,970,371
Oil: Integrated International 0.82%
Eni SpA (Italy)†(a)	5.70%	10/1/2040		4,800		5,144,870
Petrobras Global Finance BV (Netherlands)(a)	4.375%	5/20/2023		1,089		974,655
Petroleos Mexicanos (Mexico)(a)	5.50%	6/27/2044		1,650		1,615,350
Weatherford International Ltd.	9.875%	3/1/2039		2,613		3,132,433
Total						10,867,308

16 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Paper & Forest Products 0.40%
Georgia-Pacific LLC	8.875%	5/15/2031	$	3,588	$	5,323,010
Real Estate Investment Trusts 1.00%
American Tower Corp.	4.00%	6/1/2025		2,467		2,457,460
China Overseas Finance Cayman V Ltd.	3.95%	11/15/2022		2,000		1,998,554
EPR Properties	5.25%	7/15/2023		2,075		2,212,987
EPR Properties	7.75%	7/15/2020		2,543		3,059,173
Fibra Uno Trust (Mexico)†(a)	5.25%	12/15/2024		450		478,125
Healthcare Realty Trust, Inc.	5.75%	1/15/2021		1,953		2,198,090
Hospitality Properties Trust	4.65%	3/15/2024		925		940,568
Total						13,344,957
Retail 0.69%
Amazon.com, Inc.	4.80%	12/5/2034		6,756		7,020,599
QVC, Inc.	5.125%	7/2/2022		775		814,285
SACI Falabella (Chile)†(a)	4.375%	1/27/2025		530		544,530
Walgreens Boots Alliance, Inc.	4.80%	11/18/2044		875		869,325
Total						9,248,739
Savings & Loan 0.18%
First Niagara Financial Group, Inc.	7.25%	12/15/2021		2,120		2,373,175
Steel 0.44%
Allegheny Technologies, Inc.	6.375%	8/15/2023		1,089		1,143,417
Allegheny Technologies, Inc.	9.375%	6/1/2019		3,975		4,740,188
Total						5,883,605
Technology 0.29%
Alibaba Group Holding Ltd. (China)†(a)	3.60%	11/28/2024		3,000		2,966,289
Tencent Holdings Ltd. (China)†(a)	3.375%	5/2/2019		900		929,032
Total						3,895,321
Telecommunications 1.30%
AT&T, Inc.	4.50%	5/15/2035		1,105		1,050,911
AT&T, Inc.	6.30%	1/15/2038		2,149		2,457,515
AT&T, Inc.	6.50%	9/1/2037		2,593		3,033,519
GTE Corp.	6.94%	4/15/2028		7,252		9,164,541
Turk Telekomunikasyon AS (Turkey)†(a)	4.875%	6/19/2024		360		360,454
Verizon Communications, Inc.	5.85%	9/15/2035		1,105		1,248,636
Total						17,315,576

See Notes to Financial Statements. 17

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Textiles Products 0.09%
Mohawk Industries, Inc.	6.125%	1/15/2016	$	1,198	$	1,234,892
Tobacco 0.20%
Altria Group, Inc.	9.95%	11/10/2038		1,589		2,663,151
Utilities 0.52%
Aquarion Co.†	4.00%	8/15/2024		2,500		2,517,435
Public Service Co. of New Mexico	7.95%	5/15/2018		1,092		1,278,361
Williams Cos., Inc. (The)	8.75%	3/15/2032		2,460		3,168,637
Total						6,964,433
Utilities: Electrical 0.21%
Tennessee Valley Authority	3.50%	12/15/2042		2,795		2,736,146
Total Corporate Bonds (cost $335,964,115)						341,709,679
FOREIGN GOVERNMENT OBLIGATIONS 2.46%
Bahamas 0.05%
Commonwealth of Bahamas†(a)	6.95%	11/20/2029		588		698,250
Bermuda 0.18%
Bermuda Government†	5.603%	7/20/2020		2,200		2,464,000
Brazil 0.21%
Federal Republic of Brazil(a)	4.25%	1/7/2025		1,400		1,379,350
Federal Republic of Brazil(a)	5.00%	1/27/2045		300		279,750
Federal Republic of Brazil†(a)	5.333%	2/15/2028		1,000		975,000
Federal Republic of Brazil(a)	5.625%	1/7/2041		123		125,460
Total						2,759,560
Cayman Islands 0.06%
Cayman Islands Government†	5.95%	11/24/2019		700		806,750
Colombia 0.05%
Republic of Colombia(a)	4.00%	2/26/2024		700		714,000
Indonesia 0.21%
Perusahaan Penerbit SBSN†(a)	3.30%	11/21/2022		1,350		1,309,500
Perusahaan Penerbit SBSN III†(a)	4.325%	5/28/2025		1,100		1,100,550
Republic of Indonesia†(a)	5.875%	1/15/2024		400		451,000
Total						2,861,050

18 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Kazakhstan 0.03%
Republic of Kazakhstan†(a)	4.875%	10/14/2044	$	500	$	450,000
Latvia 0.09%
Republic of Latvia†(a)	5.25%	6/16/2021		988		1,136,200
Lithuania 0.19%
Republic of Lithuania†(a)	7.375%	2/11/2020		2,097		2,555,719
Mexico 0.31%
United Mexican States(a)	4.00%	10/2/2023		2,080		2,173,600
United Mexican States(a)	5.55%	1/21/2045		1,700		1,916,750
Total						4,090,350
Panama 0.16%
Republic of Panama(a)	4.00%	9/22/2024		1,811		1,865,330
Republic of Panama(a)	4.30%	4/29/2053		275		253,344
Total						2,118,674
Philippines 0.14%
Republic of Philippines(a)	9.50%	10/21/2024		1,220		1,850,569
Slovenia 0.04%
Republic of Slovenia†(a)	5.25%	2/18/2024		471		532,879
South Africa 0.07%
Republic of South Africa(a)	5.50%	3/9/2020		800		881,000
Trinidad And Tobago 0.02%
Republic of Trinidad & Tobago†(a)	4.375%	1/16/2024		200		215,500
Turkey 0.48%
Republic of Turkey(a)	4.25%	4/14/2026		200		194,290
Republic of Turkey(a)	5.75%	3/22/2024		4,840		5,358,887
Republic of Turkey(a)	7.00%	6/5/2020		750		865,875
Total						6,419,052
Uruguay 0.17%
Republic of Uruguay(a)	4.50%	8/14/2024		1,625		1,742,812
Republic of Uruguay PIK(a)	7.875%	1/15/2033		330		462,000
Total						2,204,812
Total Foreign Government Obligations (cost $32,298,676)						32,758,365

See Notes to Financial Statements. 19

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.05%
Federal Home Loan Mortgage Corp. Q001 XA IO	2.38%	#	2/25/2032	$	12,999	$	2,565,523
Government National Mortgage Assoc. 2014-78 A	2.20%		4/16/2047		561		564,168
Government National Mortgage Assoc. 2015-47 AE	2.90%	#	11/16/2055		5,344		5,458,138
Government National Mortgage Assoc. 2015-48 AS	2.90%	#	2/16/2049		4,337		4,420,436
Government National Mortgage Assoc. 2015-73 AC	2.90%		2/16/2053		990		1,012,797
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $13,932,834)							14,021,062
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 20.23%
Federal Home Loan Mortgage Corp.	2.158%	#	6/1/2043		8,783		8,987,773
Federal Home Loan Mortgage Corp.	3.103%	#	10/1/2044		6,983		7,262,940
Federal Home Loan Mortgage Corp.	3.161%	#	7/1/2044		4,096		4,264,909
Federal Home Loan Mortgage Corp.	3.215%	#	6/1/2044		2,894		3,017,470
Federal Home Loan Mortgage Corp.	4.00%		12/1/2044		5,249		5,701,179
			11/1/2017 -
Federal Home Loan Mortgage Corp.	5.00%		6/1/2026		3,151		3,391,049
Federal National Mortgage Assoc.(b)	3.00%		TBA		38,865		39,999,361
			4/1/2043 -
Federal National Mortgage Assoc.	3.50%		5/1/2045		24,886		26,122,810
Federal National Mortgage Assoc.(b)	3.50%		TBA		25,440		26,518,214
			10/1/2040 -
Federal National Mortgage Assoc.	4.00%		2/1/2045		24,733		26,577,750
Federal National Mortgage Assoc.(b)	4.00%		TBA		33,241		35,499,707
			4/1/2040 -
Federal National Mortgage Assoc.	4.50%		1/1/2043		43,427		47,324,141
Federal National Mortgage Assoc.(b)	4.50%		TBA		22,724		24,710,220
			9/1/2034 -
Federal National Mortgage Assoc.	5.50%		9/1/2036		9,121		10,370,187
Federal National Mortgage Assoc.	6.50%		1/1/2036		65		76,799
Total Government Sponsored Enterprises Pass-Throughs (cost $268,402,298)							269,824,509
MUNICIPAL BONDS 0.52%
Electric Revenue Bonds 0.12%
American Municipal Power, Inc.	7.834%		2/15/2041		1,100		1,596,067
Power 0.14%
Municipal Elec Auth of Georgia	7.055%		4/1/2057		1,675		1,918,746

20 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
MUNICIPAL BONDS (continued)
Toll Roads 0.26%
Metropolitan Washington Arpt	7.462%		10/1/2046	$	1,500	$	2,073,435
North Texas Tollway Auth	8.91%		2/1/2030		1,150		1,390,293
Total							3,463,728
Total Municipal Bonds (cost $6,266,450)							6,978,541
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.64%
Bear Stearns ALT-A Trust 2004-8 1A	0.881%	#	9/25/2034		1,675		1,633,375
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO	1.321%	#	5/10/2047		24,887		2,130,361
Commercial Mortgage Pass-Through Certificates 2013-WWP D†	3.898%		3/10/2031		4,534		4,660,612
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO	1.31%	#	8/10/2047		4,411		338,738
Commercial Mortgage Pass-Through Certificates 2014-UBS5 B	4.514%	#	9/10/2047		1,450		1,565,863
CSAIL Commercial Mortgage Trust 2015-C2 C	4.354%	#	6/15/2057		325		327,121
Extended Stay America Trust 2013-ESH5 A15†	1.278%		12/5/2031		2,203		2,188,844
Granite Master Issuer plc 2006-3 A7 (United Kingdom)(a)	0.384%	#	12/20/2054		628		625,229
Granite Master Issuer plc 2007-1 4A1 (United Kingdom)(a)	0.404%	#	12/20/2054		1,876		1,867,788
GS Mortgage Securities Corp. II 2012-TMSQ A†	3.007%		12/10/2030		1,100		1,114,176
GS Mortgage Securities Trust 2013-G1 A2†	3.557%		4/10/2031		427		434,835
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 AS	3.372%		12/15/2047		4,750		4,907,983
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO	1.279%	#	4/15/2047		4,936		265,561
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO	0.283%	#	4/15/2047		1,381		36,641
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C25 AS	4.065%		11/15/2047		1,200		1,291,882
MSCG Trust 2015-ALDR B†	3.577%	#	6/7/2035		1,250		1,265,249
Sequoia Mortgage Trust 2012-4 A3	2.069%		9/25/2042		1,100		1,056,757
Springleaf Mortgage Loan Trust 2012-3A A†	1.57%		12/25/2059		1,064		1,069,380
Springleaf Mortgage Loan Trust 2013-1A A†	1.27%		6/25/2058		1,334		1,335,592
Wells Fargo Commercial Mortgage Trust 2015-C28 D	4.277%	#	5/15/2048		2,000		1,789,752
Wells Fargo Commercial Mortgage Trust 2015-LC20 B	3.719%		4/15/2050		1,464		1,484,932

See Notes to Financial Statements. 21

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO	1.228%	#	5/15/2047	$	9,770	$	708,918
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO	0.573%	#	5/15/2047		1,909		93,896
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO	0.719%	#	10/15/2057		24,866		1,150,025
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO	0.307%	#	10/15/2057		36,416		868,394
WF-RBS Commercial Mortgage Trust 2014-C25 B	4.236%	#	11/15/2047		1,000		1,063,635
Total Non-Agency Commercial Mortgage-Backed Securities (cost $34,692,496)							35,275,539
U.S. TREASURY OBLIGATIONS 32.76%
U.S. Treasury Bond	2.50%		2/15/2045		60,553		56,144,015
U.S. Treasury Note	0.25%		4/15/2016		18,860		18,860,000
U.S. Treasury Note	0.625%		2/15/2017		69,635		69,738,338
U.S. Treasury Note	0.625%		8/31/2017		61,371		61,270,290
U.S. Treasury Note	1.25%		11/30/2018		101,614		102,090,366
U.S. Treasury Note	1.375%		4/30/2020		86,090		85,713,356
U.S. Treasury Note	1.75%		4/30/2022		20,353		20,232,144
U.S. Treasury Note	2.00%		4/30/2016		14,657		14,886,016
U.S. Treasury Note	2.125%		5/15/2025		7,974		7,998,297
Total U.S. Treasury Obligations (cost $435,070,312)							436,932,822
Total Long-Term Investments (cost $1,402,659,844)							1,413,687,767
SHORT-TERM INVESTMENTS 4.65%
COMMERCIAL PAPER 0.11%
Health Care Products
Thermo Fisher Scientific, Inc. (cost $1,499,169)	Zero Coupon		6/22/2015		1,500		1,499,169
U.S. TREASURY OBLIGATION 0.25%
U.S. Treasury Note (cost $3,387,625)	2.125%		12/31/2015		3,351		3,389,483

22 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CORE FIXED INCOME FUND May 31, 2015

Investments	Principal Amount (000)		Fair Value
REPURCHASE AGREEMENT 4.29%
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $55,655,000 of U.S. Treasury Note at 1.50% due 2/28/2019 and $1,820,000 of U.S. Treasury Note at 2.00% due 11/30/2020 value: $58,344,563; proceeds: $57,197,874 (cost $57,197,874)	$	57,198	$	57,197,874
Total Short-Term Investments (cost $62,084,668)				62,086,526
Total Investments in Securities 110.63% (cost $1,464,744,512)				1,475,774,293
Liabilities in Excess of Cash and Other Assets(c) (10.63%)				(141,833,043	)
Net Assets 100.00%			$	1,333,941,250

IO	Interest Only.
PIK	Payment-in-kind.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
#	Variable rate security. The interest rate represents the rate in effect at May 31, 2015.
~	Deferred interest debentures pay the stated rate, after which they pay a predetermined interest rate.
(a)	Foreign security traded in U.S. dollars.
(b)	To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned.
(c)	Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on futures contracts as follows:

Open Futures Contracts at May 31, 2015:

Type	Expiration	Contracts	Position	Fair Value			Unrealized Appreciation
U.S. 5-Year Treasury Note	September 2015	418	Long		$50,045,703			$152,749
Type	Expiration	Contracts	Position	Fair Value			Unrealized Depreciation
U.S. 2-Year Treasury Note	September 2015	11	Short		$(2,407,453	)		$(2,769	)

See Notes to Financial Statements. 23

Schedule of Investments (unaudited)(concluded)

CORE FIXED INCOME FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)(3)	Level 1			Level 2		Level 3		Total
Asset-Backed Securities	$	–		$	276,187,250	$	–	$	276,187,250
Corporate Bonds		–			341,709,679		–		341,709,679
Foreign Government Obligations		–			32,758,365		–		32,758,365
Government Sponsored Enterprises Collateralized Mortgage Obligations		–			14,021,062		–		14,021,062
Government Sponsored Enterprises Pass-Throughs		–			269,824,509		–		269,824,509
Municipal Bonds		–			6,978,541		–		6,978,541
Non-Agency Commercial Mortgage-Backed Securities		–			35,275,539		–		35,275,539
U.S. Treasury Obligations		–			440,322,305		–		440,322,305
Commercial Paper		–			1,499,169		–		1,499,169
Repurchase Agreement		–			57,197,874		–		57,197,874
Total	$	–		$	1,475,774,293	$	–	$	1,475,774,293
Other Financial Instruments
Futures Contracts
Assets	$	152,749		$	–	$	–	$	152,749
Liabilities		(2,769	)		–		–		(2,769	)
Total	$	149,980		$	–	$	–	$	149,980

(1)	Refer to Note 2(o) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography.
(3)	There were no level transfers during the period ended May 31, 2015.

24 See Notes to Financial Statements.

Schedule of Investments (unaudited)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
LONG-TERM INVESTMENTS 104.57%
ASSET-BACKED SECURITIES 20.97%
Automobiles 8.99%
Ally Auto Receivables Trust 2012-5 A3	0.62%	3/15/2017	$	708	$	708,185
Ally Auto Receivables Trust 2013-1 A3	0.63%	5/15/2017		2,036		2,036,693
Ally Auto Receivables Trust 2013-SN1 A3	0.72%	5/20/2016		578		578,390
Ally Auto Receivables Trust 2014-1 A2	0.48%	2/15/2017		4,686		4,684,032
Ally Auto Receivables Trust 2014-2 A3	1.25%	4/15/2019		4,900		4,917,366
AmeriCredit Automobile Receivables Trust 2012-4 A3	0.67%	6/8/2017		870		869,712
AmeriCredit Automobile Receivables Trust 2013-1 A3	0.61%	10/10/2017		3,086		3,086,014
AmeriCredit Automobile Receivables Trust 2013-2 A3	0.65%	12/8/2017		5,211		5,208,798
AmeriCredit Automobile Receivables Trust 2013-5 A2A	0.65%	3/8/2017		237		237,395
AmeriCredit Automobile Receivables Trust 2013-5 A3	0.90%	9/10/2018		691		691,829
Avis Budget Rental Car Funding AESOP LLC 2011-3A A†	3.41%	11/20/2017		1,963		2,020,432
Avis Budget Rental Car Funding AESOP LLC 2011-5A A†	3.27%	2/20/2018		1,967		2,028,092
Avis Budget Rental Car Funding AESOP LLC 2012-2A A†	2.802%	5/20/2018		5,919		6,067,549
Avis Budget Rental Car Funding AESOP LLC 2014-1A A†	2.46%	7/20/2020		1,974		1,995,635
Avis Budget Rental Car Funding AESOP LLC 2014-2A A†	2.50%	2/20/2021		1,408		1,420,092
Avis Budget Rental Car Funding AESOP LLC 2015-2A A†	2.63%	12/20/2021		3,880		3,879,224
BMW Vehicle Lease Trust 2014-1 A3	0.73%	2/21/2017		694		694,443
BMW Vehicle Lease Trust 2015-1 A3	1.24%	12/20/2017		6,320		6,337,535
California Republic Auto Receivables Trust 2013-1 A2†	1.41%	9/17/2018		822		825,573
California Republic Auto Receivables Trust 2014-2 A2	0.54%	3/15/2017		1,485		1,484,862
California Republic Auto Receivables Trust 2014-4 A2	0.77%	9/15/2017		5,480		5,482,162
California Republic Auto Receivables Trust 2015-1 A2	0.88%	12/15/2017		6,950		6,955,668

See Notes to Financial Statements. 25

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Automobiles (continued)
California Republic Auto Receivables Trust 2015-2 A4(a)	1.75%	1/15/2021	$	8,601	$	8,606,376
California Republic Auto Receivables Trust 2015-2 B(a)	2.53%	6/15/2021		5,940		5,934,431
Capital Auto Receivables Asset Trust 2013-2 A2	0.92%	9/20/2016		753		753,416
Capital Auto Receivables Asset Trust 2015-2 A1A	0.99%	10/20/2017		7,535		7,536,462
Capital Auto Receivables Asset Trust 2015-2 A2	1.39%	9/20/2018		3,160		3,162,041
CarFinance Capital Auto Trust 2014-1A A†	1.46%	12/17/2018		341		340,160
CarMax Auto Owner Trust 2012-2 A3	0.84%	3/15/2017		852		852,701
CarMax Auto Owner Trust 2013-2 A3	0.64%	1/16/2018		2,417		2,418,450
CarMax Auto Owner Trust 2013-3 A3	0.97%	4/16/2018		3,737		3,745,358
CarMax Auto Owner Trust 2013-4 A2	0.52%	11/15/2016		501		501,161
CarMax Auto Owner Trust 2014-2 A3	0.98%	1/15/2019		971		972,125
CarMax Auto Owner Trust 2015-2 A2A	0.82%	6/15/2018		2,090		2,091,163
CarMax Auto Owner Trust 2015-2 A4	1.80%	3/15/2021		4,045		4,062,199
Chrysler Capital Auto Receivables Trust 2013-BA A3†	0.85%	5/15/2018		4,091		4,097,394
Chrysler Capital Auto Receivables Trust 2014-BA A2†	0.69%	9/15/2017		6,117		6,116,538
Chrysler Capital Auto Receivables Trust 2014-BA A3†	1.27%	5/15/2019		5,965		5,981,389
Chrysler Capital Auto Receivables Trust 2015-AA A3†	1.22%	7/15/2019		6,905		6,907,372
Drive Auto Receivables Trust 2015-BA B†	2.12%	6/17/2019		2,453		2,459,162
Fifth Third Auto Trust 2014-3 A3	0.96%	3/15/2019		4,045		4,037,980
Ford Credit Auto Owner Trust 2012-D A3	0.51%	4/15/2017		565		564,928
Ford Credit Auto Owner Trust 2013-D A3	0.67%	4/15/2018		4,282		4,283,634
GM Financial Automobile Leasing Trust 2014-2A A3†	1.22%	1/22/2018		2,580		2,582,521
Harley-Davidson Motorcycle Trust 2015-2 A4	1.66%	12/15/2022		1,946		1,945,805
Honda Auto Receivables Owner Trust 2013-1 A3	0.48%	11/21/2016		816		815,631
Honda Auto Receivables Owner Trust 2013-2 A3	0.53%	2/16/2017		1,626		1,626,369
Honda Auto Receivables Owner Trust 2013-4 A3	0.69%	9/18/2017		3,792		3,794,630
Hyundai Auto Lease Securitization Trust 2013-A A3†	0.66%	6/15/2016		761		760,749
Hyundai Auto Lease Securitization Trust 2014-A A2†	0.52%	7/15/2016		2,677		2,677,101
Hyundai Auto Lease Securitization Trust 2014-B A2†	0.61%	2/15/2017		4,240		4,238,964
Hyundai Auto Receivables Trust 2013-A A3	0.56%	7/17/2017		6,956		6,956,127
Hyundai Auto Receivables Trust 2015-A A2	0.68%	10/16/2017		5,105		5,108,926
M&T Bank Auto Receivables Trust 2013-1A A3†	1.06%	11/15/2017		8,233		8,252,463

26 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Automobiles (continued)
Mercedes-Benz Auto Lease Trust 2013-B A3	0.62%		7/15/2016	$	670	$	670,221
Mercedes-Benz Auto Lease Trust 2014-A A3	0.68%		12/15/2016		7,750		7,754,541
Nissan Auto Receivables Owner Trust 2013-A A3	0.50%		5/15/2017		669		669,492
Porsche Innovative Lease Owner Trust 2014-1 A3†	1.03%		11/20/2017		3,686		3,695,552
Santander Drive Auto Receivables Trust 2013-1 A3	0.62%		6/15/2017		193		192,547
Santander Drive Auto Receivables Trust 2013-4 A3	1.11%		12/15/2017		3,659		3,663,162
Santander Drive Auto Receivables Trust 2014-1 A2A	0.66%		6/15/2017		374		373,742
Santander Drive Auto Receivables Trust 2014-2 C	2.33%		11/15/2019		2,450		2,483,266
Santander Drive Auto Receivables Trust 2014-4 C	2.60%		11/16/2020		4,178		4,237,633
Santander Drive Auto Receivables Trust 2015-1 C	2.57%		4/15/2021		5,853		5,889,716
Volkswagen Auto Loan Enhanced Trust 2012-2 A3	0.46%		1/20/2017		390		389,824
World Omni Auto Receivables Trust 2013-B A2	0.48%		11/15/2016		211		210,624
World Omni Auto Receivables Trust 2014-B A2A	0.60%		1/16/2018		4,825		4,826,266
World Omni Automobile Lease Securitization Trust 2013-A A2A	0.73%		5/16/2016		549		549,196
World Omni Automobile Lease Securitization Trust 2013-A A3	1.10%		12/15/2016		8,045		8,065,929
World Omni Automobile Lease Securitization Trust 2014-A A3	1.16%		9/15/2017		1,525		1,531,387
Total							221,596,505
Credit Cards 5.23%
American Express Credit Account Master Trust 2012-2 A	0.68%		3/15/2018		10,521		10,525,319
Bank of America Credit Card Trust 2014-A3 A	0.476%	#	1/15/2020		6,140		6,148,031
Barclays Dryrock Issuance Trust 2012-2 A	0.64%		8/15/2018		2,250		2,250,665
Capital One Multi-Asset Execution Trust 2014-A2	1.26%		1/15/2020		6,465		6,500,341
Capital One Multi-Asset Execution Trust 2015-A2	2.08%		3/15/2023		8,124		8,176,241
Chase Issuance Trust 2012-A3	0.79%		6/15/2017		9,315		9,316,463
Chase Issuance Trust 2012-A5	0.59%		8/15/2017		6,350		6,351,400
Chase Issuance Trust 2012-A8	0.54%		10/16/2017		9,775		9,776,486
Chase Issuance Trust 2013-A8	1.01%		10/15/2018		2,575		2,583,429
Chase Issuance Trust 2014-A6	1.26%		7/15/2019		5,460		5,474,294
Citibank Credit Card Issuance Trust 2003-A7	4.15%		7/7/2017		6,900		6,926,838
Citibank Credit Card Issuance Trust 2006-A3	5.30%		3/15/2018		4,740		4,916,932
Citibank Credit Card Issuance Trust 2012-A1	0.55%		10/10/2017		9,340		9,341,382
Citibank Credit Card Issuance Trust 2013-A6	1.32%		9/7/2018		8,457		8,519,527
Discover Card Execution Note Trust 2012-B3	0.636%	#	5/15/2018		2,850		2,849,269

See Notes to Financial Statements. 27

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Credit Cards (continued)
Synchrony Credit Card Master Note Trust 2011-2 A	0.666%	#	5/15/2019	$	5,890	$	5,901,141
Synchrony Credit Card Master Note Trust 2012-4 A	0.486%	#	6/15/2018		1,985		1,985,084
Synchrony Credit Card Master Note Trust 2012-5 A	0.95%		6/15/2018		8,775		8,776,623
Synchrony Credit Card Master Note Trust 2012-6 A	1.36%		8/17/2020		6,045		6,056,510
World Financial Network Credit Card Master Trust 2013-B A	0.91%		3/16/2020		950		951,477
World Financial Network Credit Card Master Trust 2014-A	0.566%	#	12/15/2019		5,470		5,474,568
Total							128,802,020
Home Equity 0.15%
Home Equity Asset Trust 2006-7 2A2	0.291%	#	1/25/2037		618		615,582
New Century Home Equity Loan Trust 2005-A A6	4.954%		8/25/2035		1,876		1,847,627
Option One Mortgage Loan Trust 2005-1 A4	0.981%	#	2/25/2035		1,262		1,241,489
Total							3,704,698
Other 6.60%
ALM XIV Ltd. 2014-14A A1†	1.686%	#	7/28/2026		2,500		2,495,617
Ares IIIR/IVR CLO Ltd. 2007-3RA A2†	0.496%	#	4/16/2021		1,578		1,561,339
Avenue CLO VI Ltd. 2007-6A A2†	0.624%	#	7/17/2019		1,000		992,825
BlueMountain CLO Ltd. 2014-3A A1†	1.727%	#	10/15/2026		3,500		3,490,682
Carlyle Global Market Strategies 2015-2A A1†	1.744%	#	4/27/2027		5,500		5,482,973
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1†	1.752%	#	10/15/2026		4,000		4,005,297
Cedar Funding IV CLO Ltd. 2014-4A A1†	1.744%	#	10/23/2026		2,570		2,570,019
CIFC Funding II Ltd. 2014-2A A1L†	1.762%	#	5/24/2026		5,800		5,802,365
CNH Equipment Trust 2015-B A4	1.89%		4/15/2022		2,430		2,429,514
Fore CLO Ltd. 2007-1A A2†	0.725%	#	7/20/2019		1,150		1,143,061
Fraser Sullivan CLO II Ltd. 2006-2A A2†	0.57%	#	12/20/2020		1,500		1,495,438
Galaxy XVIII CLO Ltd. 2014-18A A†	1.733%	#	10/15/2026		6,000		5,981,228
GMF Floorplan Owner Revolving Trust 2015-1 A1†	1.65%		5/15/2020		3,602		3,608,518
GMF Floorplan Owner Revolving Trust 2015-1 B†	1.97%		5/15/2020		2,219		2,222,473
Grayson CLO Ltd. 2006-1A A1A†	0.523%	#	11/1/2021		1,345		1,327,884
Harch CLO III Ltd. 2007-1A B†	0.679%	#	4/17/2020		1,000		991,469
HLSS Servicer Advance Receivables Backed Notes 2013-T3 B3†	2.14%		5/15/2046		1,500		1,492,717

28 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
HLSS Servicer Advance Receivables Backed Notes 2013-T7 AT7†	1.981%		11/15/2046	$	1,300	$	1,293,677
HLSS Servicer Advance Receivables Backed Notes 2013-T7 CT7†	2.526%		11/15/2046		1,825		1,821,624
HLSS Servicer Advance Receivables Trust 2012-T2 A2†	1.99%		10/15/2045		6,220		6,220,221
HLSS Servicer Advance Receivables Trust 2012-T2 B2†	2.48%		10/15/2045		1,090		1,090,117
HLSS Servicer Advance Receivables Trust 2013-T1 A2†	1.495%		1/16/2046		2,425		2,422,974
HLSS Servicer Advance Receivables Trust 2013-T1 B3†	2.734%		1/15/2048		1,250		1,248,993
Jackson Mill CLO Ltd. 2015-1A A†	1.814%	#	4/15/2027		8,300		8,324,070
JFIN Revolver CLO Ltd. 2013-1A A†	1.525%	#	1/20/2021		1,670		1,671,506
JFIN Revolver CLO Ltd. 2014-2A A2†	1.576%	#	2/20/2022		4,000		3,982,500
JFIN Revolver CLO Ltd. 2015-3A A1†	1.775%	#	4/20/2023		6,000		5,995,976
KKR Financial CLO Ltd. 2007-1A A†	0.624%	#	5/15/2021		1,548		1,541,024
KKR Financial CLO Ltd. 2007-1A B†	1.024%	#	5/15/2021		1,000		979,954
Leaf Receivables Funding 10 LLC 2015-1 A4†	2.03%		8/17/2020		3,130		3,136,072
Madison Park Funding IX Ltd. 2012-9AR B1R†	2.15%	#	8/15/2022		2,500		2,501,696
Marathon CLO IV Ltd. 2012-4A A1†	1.666%	#	5/20/2023		7,000		6,996,357
Morgan Stanley Capital I, Inc. 2006-HE1 A3	0.361%	#	1/25/2036		134		134,379
Nationstar Mortgage Advance Receivables Trust 2013-T3A A3†	2.438%		6/20/2048		2,150		2,141,105
NZCG Funding Ltd. 2015-2A A1†	1.812%	#	4/27/2027		4,670		4,659,508
Oaktree CLO Ltd. 2014-2A A1A†	1.805%	#	10/20/2026		4,000		3,996,926
Octagon Investment Partners XIX Ltd. 2014-1A A†	1.773%	#	4/15/2026		3,378		3,384,803
OZLM VIII Ltd. 2014-8A A1A†	1.714%	#	10/17/2026		3,010		3,005,806
Shackleton CLO Ltd. 2014-5A A†	1.776%	#	5/7/2026		3,400		3,404,095
SLM Private Education Loan Trust 2010-A 2A†	3.436%	#	5/16/2044		2,635		2,787,824
SLM Private Education Loan Trust 2011-B A1†	1.036%	#	12/16/2024		4,096		4,106,751
SLM Private Education Loan Trust 2012-A A1†	1.586%	#	8/15/2025		742		748,624
SLM Private Education Loan Trust 2012-C A1†	1.286%	#	8/15/2023		5,019		5,040,789
SLM Private Education Loan Trust 2012-E A1†	0.936%	#	10/16/2023		4,936		4,948,170
Stone Tower CLO VI Ltd. 2007-6A A2B†	0.594%	#	4/17/2021		1,500		1,469,373
Treman Park CLO LLC 2015-1A A†	1.761%	#	4/20/2027		2,000		1,997,737
Tryon Park CLO Ltd. 2013-1A A1†	1.395%	#	7/15/2025		5,000		4,920,587
Venture XI CLO Ltd. 2012-11AR BR†	2.225%	#	11/14/2022		6,500		6,500,000
Venture XVI CLO Ltd. 2014-16A A1L†	1.753%	#	4/15/2026		6,236		6,225,988

See Notes to Financial Statements. 29

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
Venture XVIII CLO Ltd. 2014-18A A†	1.703%	#	10/15/2026	$	2,250	$	2,240,892
Voya CLO Ltd. 2015-1A A1†	1.755%	#	4/18/2027		3,000		2,974,233
Westchester CLO Ltd. 2007-1A A1A†	0.503%	#	8/1/2022		1,498		1,487,294
Total							162,495,064
Total Asset-Backed Securities (cost $516,186,005)							516,598,287
CONVERTIBLE BONDS 0.00%
Oil
Oleo e Gas Participacoes SA (Brazil)(b)(c)	10.00%		6/1/2016		BRL 17		6,890
Oleo e Gas Participacoes SA (Brazil)(b)(c)	10.00%		6/1/2016		BRL 22		8,672
Total Convertible Bonds (cost $123,390)							15,562
CORPORATE BONDS 32.06%
Air Transportation 0.07%
American Airlines 2013-2 Class B Pass-Through Trust†	5.60%		7/15/2020	$	1,775		1,850,122
Apparel 0.11%
PVH Corp.	7.75%		11/15/2023		2,290		2,713,650
Auto Parts: Original Equipment 0.16%
Hertz Corp. (The)	6.25%		10/15/2022		1,500		1,548,750
Hertz Corp. (The)	7.375%		1/15/2021		969		1,018,661
International Automotive Components Group SA (Luxembourg)†(d)	9.125%		6/1/2018		1,446		1,496,610
Total							4,064,021
Automotive 0.27%
Ford Motor Co.	6.375%		2/1/2029		1,489		1,828,781
Ford Motor Co.	6.625%		10/1/2028		1,679		2,109,533
Ford Motor Co.	7.45%		7/16/2031		2,044		2,669,717
Total							6,608,031
Banks: Money Center 0.27%
Barclays plc (United Kingdom)(d)	3.65%		3/16/2025		5,425		5,321,404
BBVA Banco Continental SA (Peru)†(d)	5.25%		9/22/2029		1,100		1,132,450
Zions Bancorporation	4.50%		6/13/2023		149		156,230
Total							6,610,084
Banks: Regional 2.57%
Citigroup, Inc.	5.50%		9/13/2025		10,682		11,933,129
Goldman Sachs Group, Inc. (The)	3.75%		5/22/2025		4,530		4,575,481

30 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Banks: Regional (continued)
Goldman Sachs Group, Inc. (The)	5.95%	1/15/2027	$	3,352	$	3,881,096
HBOS plc (United Kingdom)†(d)	6.00%	11/1/2033		2,550		2,884,119
Itau Unibanco Holding SA†	5.50%	8/6/2022		600		613,500
JPMorgan Chase & Co.	3.875%	9/10/2024		15,542		15,659,793
Lloyds Bank plc (United Kingdom)†(d)	6.50%	9/14/2020		2,139		2,512,908
Macquarie Bank Ltd. (Australia)†(d)	6.625%	4/7/2021		4,275		5,013,746
Morgan Stanley	4.10%	5/22/2023		631		649,298
Morgan Stanley	4.35%	9/8/2026		4,288		4,371,367
Morgan Stanley	5.00%	11/24/2025		334		361,555
Wells Fargo & Co.	4.10%	6/3/2026		10,430		10,778,685
Total						63,234,677
Beverages 0.26%
Anadolu Efes Biracilik Ve Malt Sanayii AS (Turkey)†(d)	3.375%	11/1/2022		1,500		1,350,180
Central American Bottling Corp. (Guatemala)†(d)	6.75%	2/9/2022		4,671		4,986,292
Total						6,336,472
Biotechnology Research & Production 0.40%
Amgen, Inc.	6.40%	2/1/2039		8,000		9,809,088
Broadcasting 0.48%
21st Century Fox America, Inc.	6.20%	12/15/2034		1,560		1,895,001
21st Century Fox America, Inc.	6.90%	8/15/2039		3,664		4,812,587
Cox Communications, Inc.†	8.375%	3/1/2039		3,781		5,074,631
Total						11,782,219
Brokers 0.29%
Jefferies Group LLC	6.875%	4/15/2021		6,161		7,124,272
Building Materials 0.10%
Cementos Pacasmayo SAA (Peru)†(d)	4.50%	2/8/2023		1,918		1,860,843
Owens Corning	9.00%	6/15/2019		319		384,170
Votorantim Cimentos SA (Brazil)†(d)	7.25%	4/5/2041		100		103,100
Total						2,348,113
Business Services 0.26%
Expedia, Inc.	4.50%	8/15/2024		4,926		5,049,367
Expedia, Inc.	5.95%	8/15/2020		847		952,356
Jaguar Holding Co. I PIK†	9.375%	10/15/2017		400		410,000
Total						6,411,723

See Notes to Financial Statements. 31

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Cable Services 0.50%
Comcast Corp.	4.40%	8/15/2035	$	1,719	$	1,771,514
Time Warner Cable, Inc.	7.30%	7/1/2038		9,023		10,551,352
Total						12,322,866
Chemicals 0.80%
Alfa SAB de CV (Mexico)†(d)	5.25%	3/25/2024		2,700		2,848,500
Grupo Idesa SA de CV (Mexico)†(d)	7.875%	12/18/2020		2,400		2,520,000
Israel Chemicals Ltd. (Israel)†(d)	4.50%	12/2/2024		2,325		2,402,655
Methanex Corp. (Canada)(d)	5.25%	3/1/2022		1,358		1,477,746
Mexichem SAB de CV (Mexico)†(d)	4.875%	9/19/2022		1,364		1,437,656
Montell Finance Co. BV (Netherlands)†(d)	8.10%	3/15/2027		3,956		5,379,515
NewMarket Corp.	4.10%	12/15/2022		2,071		2,128,926
OCP SA (Morocco)†(d)	6.875%	4/25/2044		1,395		1,522,573
Total						19,717,571
Communications Equipment 0.03%
Harris Corp.	4.854%	4/27/2035		809		800,068
Communications Services 0.06%
CenturyLink, Inc.	6.875%	1/15/2028		1,425		1,439,250
Communications Technology 0.14%
Motorola Solutions, Inc.	3.75%	5/15/2022		3,529		3,532,480
Computer Hardware 0.07%
Dell, Inc.	7.10%	4/15/2028		1,605		1,761,488
Computer Software 0.09%
First Data Corp.†	7.375%	6/15/2019		422		439,935
SunGard Data Systems, Inc.	7.375%	11/15/2018		1,795		1,871,287
Total						2,311,222
Construction/Homebuilding 0.07%
Odebrecht Finance Ltd.†	5.25%	6/27/2029		1,200		1,062,840
Odebrecht Finance Ltd.†	7.125%	6/26/2042		689		638,186
Total						1,701,026
Consumer Products 0.11%
Tupperware Brands Corp.	4.75%	6/1/2021		2,609		2,793,015
Containers 0.31%
Coveris Holdings SA (Luxembourg)†(d)	7.875%	11/1/2019		1,450		1,489,875

32 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Containers (continued)
Crown Cork & Seal Co., Inc.	7.50%	12/15/2096	$	3,613	$	3,576,870
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA	8.50%	5/15/2018		2,450		2,502,062
Total						7,568,807
Copper 0.05%
Southern Copper Corp. (Mexico)(d)	3.875%	4/23/2025		400		392,408
Southern Copper Corp. (Mexico)(d)	5.875%	4/23/2045		794		778,438
Total						1,170,846
Data Product, Equipment & Communications 0.24%
Fidelity National Information Services, Inc.	5.00%	3/15/2022		5,520		5,829,744
Diversified 0.20%
Alphabet Holding Co., Inc. PIK	7.75%	11/1/2017		3,793		3,845,154
Hutchison Whampoa International 14 Ltd. (Hong Kong)†(d)	3.625%	10/31/2024		1,100		1,123,166
Total						4,968,320
Drugs 0.36%
Actavis Funding SCS (Luxembourg)(d)	4.55%	3/15/2035		2,525		2,511,330
Express Scripts Holding Co.	6.125%	11/15/2041		4,528		5,551,101
Valeant Pharmaceuticals International, Inc.†	7.00%	10/1/2020		716		750,905
Total						8,813,336
Electric: Power 1.15%
AES El Salvador Trust II†	6.75%	3/28/2023		1,060		1,022,900
Appalachian Power Co.	7.00%	4/1/2038		3,000		3,973,995
CEZ AS (Czech Republic)†(d)	4.25%	4/3/2022		1,500		1,597,323
E.CL SA (Chile)†(d)	4.50%	1/29/2025		1,420		1,477,291
Empresa Electrica Guacolda SA (Chile)†(d)	4.56%	4/30/2025		200		198,392
Entergy Corp.	5.125%	9/15/2020		4,389		4,838,034
Exelon Generation Co. LLC	6.25%	10/1/2039		2,444		2,861,856
Lamar Funding Ltd.†	3.958%	5/7/2025		2,250		2,261,250
PPL Energy Supply LLC	4.60%	12/15/2021		648		613,133
PPL WEM Holdings Ltd. (United Kingdom)†(d)	5.375%	5/1/2021		4,325		4,896,458
Red Oak Power LLC	8.54%	11/30/2019		1,041		1,114,372
Texas-New Mexico Power Co.†	9.50%	4/1/2019		2,800		3,500,512
Total						28,355,516

See Notes to Financial Statements. 33

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Electronics 0.10%
PerkinElmer, Inc.	5.00%	11/15/2021	$	2,201	$	2,453,127
Electronics: Semi-Conductors/Components 0.16%
KLA-Tencor Corp.	4.65%	11/1/2024		3,769		3,867,537
Energy Equipment & Services 0.52%
Cameron International Corp.	7.00%	7/15/2038		551		654,992
Energy Transfer Partners LP	6.625%	10/15/2036		1,110		1,229,757
Energy Transfer Partners LP	7.50%	7/1/2038		3,426		4,165,828
Energy Transfer Partners LP	9.00%	4/15/2019		2,055		2,525,157
IFM US Colonial Pipeline 2 LLC†	6.45%	5/1/2021		3,850		4,207,892
Total						12,783,626
Engineering & Contracting Services 0.16%
China Railway Resources Huitung Ltd. (Hong Kong)(d)	3.85%	2/5/2023		3,926		4,011,834
Entertainment 0.22%
CCO Holdings LLC/CCO Holdings Capital Corp.	7.00%	1/15/2019		1,607		1,672,284
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.†	9.50%	6/15/2019		854		900,970
Viacom, Inc.	6.875%	4/30/2036		2,484		2,911,482
Total						5,484,736
Financial Services 2.55%
Air Lease Corp.	3.875%	4/1/2021		1,150		1,187,375
Air Lease Corp.	4.25%	9/15/2024		3,180		3,227,700
Bank of America Corp.	4.20%	8/26/2024		10,058		10,237,344
Bank of America Corp.	4.25%	10/22/2026		1,950		1,967,168
Dun & Bradstreet Corp. (The)	4.375%	12/1/2022		2,729		2,838,820
General Electric Capital Corp.	6.75%	3/15/2032		14,847		20,040,540
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.	7.375%	10/1/2017		1,210		1,267,475
Lender Processing Services, Inc.	5.75%	4/15/2023		3,579		3,811,635
MU Finance plc (United Kingdom)†(d)	8.375%	2/1/2017		1,541		1,581,561
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	5.875%	3/15/2022		2,249		2,426,109
Santander UK plc (United Kingdom)(d)	7.95%	10/26/2029		4,454		5,807,397
Scottrade Financial Services, Inc.†	6.125%	7/11/2021		4,325		4,725,465
SUAM Finance BV (Curacao)†(d)	4.875%	4/17/2024		2,562		2,670,629
Western Union Co. (The)	3.35%	5/22/2019		903		929,268
Total						62,718,486

34 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Financial: Miscellaneous 0.21%
Banque Centrale de Tunisie SA (Tunisia)†(d)	5.75%	1/30/2025	$	3,200	$	3,312,000
Wells Fargo Bank NA	5.85%	2/1/2037		1,422		1,761,306
Total						5,073,306
Food 0.53%
Flowers Foods, Inc.	4.375%	4/1/2022		830		879,788
Gruma SAB de CV (Mexico)†(d)	4.875%	12/1/2024		1,100		1,163,250
H.J. Heinz Finance Co.	6.75%	3/15/2032		747		900,135
JM Smucker Co. (The)†	4.25%	3/15/2035		2,645		2,578,677
Kraft Foods Group, Inc.	6.875%	1/26/2039		3,100		3,867,371
US Foods, Inc.	8.50%	6/30/2019		3,437		3,600,257
Total						12,989,478
Gaming 0.36%
Activision Blizzard, Inc.†	6.125%	9/15/2023		3,813		4,213,365
CCM Merger, Inc.†	9.125%	5/1/2019		979		1,067,110
Mohegan Tribal Gaming Authority†	11.00%	9/15/2018		1,898		1,909,862
Pinnacle Entertainment, Inc.	8.75%	5/15/2020		1,697		1,777,608
Total						8,967,945
Health Care 0.17%
Zoetis, Inc.	3.25%	2/1/2023		4,350		4,271,091
Health Care Products 0.70%
Forest Laboratories, Inc.†	4.375%	2/1/2019		6,793		7,256,853
Forest Laboratories, Inc.†	5.00%	12/15/2021		6,978		7,669,869
Zimmer Holdings, Inc.	4.25%	8/15/2035		2,431		2,369,316
Total						17,296,038
Health Care Services 0.64%
Fresenius Medical Care US Finance II, Inc.†	4.75%	10/15/2024		1,000		1,020,000
Fresenius Medical Care US Finance II, Inc.†	5.875%	1/31/2022		5,955		6,490,950
IASIS Healthcare LLC/IASIS Capital Corp.	8.375%	5/15/2019		2,338		2,450,516
Omega Healthcare Investors, Inc.	4.95%	4/1/2024		647		676,937
Omega Healthcare Investors, Inc.	5.875%	3/15/2024		2,853		3,045,578
Senior Housing Properties Trust	6.75%	12/15/2021		1,885		2,182,907
Total						15,866,888
Household Equipment/Products 0.02%
Turkiye Sise ve Cam Fabrikalari AS (Turkey)†(d)	4.25%	5/9/2020		625		617,989

See Notes to Financial Statements. 35

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Insurance 0.58%
CNO Financial Group, Inc.†	6.375%	10/1/2020	$	1,526	$	1,628,166
Markel Corp.	7.125%	9/30/2019		2,886		3,408,095
Symetra Financial Corp.†	6.125%	4/1/2016		1,574		1,626,809
Teachers Insurance & Annuity Association of America†	4.90%	9/15/2044		4,296		4,613,053
Willis North America, Inc.	7.00%	9/29/2019		2,555		2,948,445
Total						14,224,568
Investment Management Companies 0.02%
Lazard Group LLC	6.85%	6/15/2017		379		415,868
Jewelry, Watches & Gemstones 0.01%
ALROSA Finance SA (Luxembourg)†(d)	7.75%	11/3/2020		200		211,000
Leasing 0.43%
Aviation Capital Group Corp.†	6.75%	4/6/2021		2,937		3,407,082
Aviation Capital Group Corp.†	7.125%	10/15/2020		6,167		7,230,135
Total						10,637,217
Leisure 0.38%
Carnival plc (United Kingdom)(d)	7.875%	6/1/2027		3,957		5,070,765
Royal Caribbean Cruises Ltd.	7.50%	10/15/2027		3,739		4,374,630
Total						9,445,395
Lodging 0.83%
Host Hotels & Resorts LP	3.75%	10/15/2023		1,570		1,574,719
Host Hotels & Resorts LP	4.00%	6/15/2025		1,310		1,340,256
Host Hotels & Resorts LP	5.25%	3/15/2022		8,532		9,419,448
Hyatt Hotels Corp.†	6.875%	8/15/2019		3,333		3,879,355
Starwood Hotels & Resorts Worldwide, Inc.	4.50%	10/1/2034		3,250		3,123,370
Sugarhouse HSP Gaming Prop. Mezz. LP/Sugarhouse HSP Gaming Finance Corp.†	6.375%	6/1/2021		1,220		1,171,200
Total						20,508,348
Machinery: Agricultural 0.64%
Imperial Tobacco Finance plc (United Kingdom)†(d)	3.50%	2/11/2023		1,285		1,285,233
Lorillard Tobacco Co.	6.875%	5/1/2020		3,086		3,630,623
Lorillard Tobacco Co.	8.125%	6/23/2019		1,653		2,007,013
Lorillard Tobacco Co.	8.125%	5/1/2040		1,400		1,893,609
MHP SA (Ukraine)†(d)	8.25%	4/2/2020		2,915		2,492,325
Viterra, Inc. (Canada)†(d)	5.95%	8/1/2020		4,048		4,539,929
Total						15,848,732

36 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Machinery: Industrial/Specialty 0.04%
Honghua Group Ltd. (China)†(d)	7.45%	9/25/2019	$	1,300	$	871,000
Manufacturing 0.16%
Hillenbrand, Inc.	5.50%	7/15/2020		778		849,362
Trinity Industries, Inc.	4.55%	10/1/2024		3,206		3,142,149
Total						3,991,511
Media 0.73%
Discovery Communications LLC	6.35%	6/1/2040		3,195		3,660,901
Globo Comunicacao e Participacoes SA (Brazil)†(d)	4.875%	4/11/2022		3,825		3,987,563
Globo Comunicacao e Participacoes SA (Brazil) (7.25% after 5/11/2017)†~(d)	5.307%	5/11/2022		3,550		3,718,625
Time Warner, Inc.	7.625%	4/15/2031		4,829		6,486,274
Videotron Ltd. (Canada)(d)	9.125%	4/15/2018		212		216,240
Total						18,069,603
Metals & Minerals: Miscellaneous 0.29%
Barrick Gold Corp. (Canada)(d)	4.10%	5/1/2023		1,543		1,531,964
Barrick International Barbados Corp. (Barbados)†(d)	6.35%	10/15/2036		1,225		1,263,946
Fresnillo plc (Mexico)†(d)	5.50%	11/13/2023		1,600		1,732,000
Goldcorp, Inc. (Canada)(d)	5.45%	6/9/2044		1,466		1,458,779
New Gold, Inc. (Canada)†(d)	6.25%	11/15/2022		1,003		1,009,269
New Gold, Inc. (Canada)†(d)	7.00%	4/15/2020		69		72,278
Total						7,068,236
Natural Gas 0.86%
Bill Barrett Corp.	7.625%	10/1/2019		3,408		3,271,680
Fermaca Enterprises S de RL de CV (Mexico)†(d)	6.375%	3/30/2038		2,581		2,733,397
GNL Quintero SA (Chile)†(d)	4.634%	7/31/2029		1,650		1,694,354
Kinder Morgan, Inc.	7.75%	1/15/2032		1,775		2,101,502
Kinder Morgan, Inc.	7.80%	8/1/2031		1,250		1,470,357
Kinder Morgan, Inc.	8.05%	10/15/2030		548		662,693
SourceGas LLC†	5.90%	4/1/2017		3,984		4,237,024
Southern Star Central Corp.†	5.125%	7/15/2022		1,500		1,575,000
Tennessee Gas Pipeline Co. LLC	8.375%	6/15/2032		2,015		2,515,204
Transportadora de Gas del Peru SA (Peru)†(d)	4.25%	4/30/2028		800		808,000
Total						21,069,211
Oil 1.31%
Afren plc (United Kingdom)†(b)(d)	10.25%	4/8/2019		2,600		1,157,000
Canadian Oil Sands Ltd. (Canada)†(d)	7.75%	5/15/2019		2,047		2,250,730

See Notes to Financial Statements. 37

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Oil (continued)
Canadian Oil Sands Ltd. (Canada)†(d)	7.90%	9/1/2021	$	876	$	977,208
Chaparral Energy, Inc.	8.25%	9/1/2021		1,340		1,092,100
Delek & Avner Tamar Bond Ltd. (Israel)†(d)	5.082%	12/30/2023		800		820,000
Ecopetrol SA (Colombia)(d)	5.875%	5/28/2045		762		708,279
GeoPark Latin America Ltd. Agencia en Chile (Chile)†(d)	7.50%	2/11/2020		1,885		1,687,075
Halliburton Co.	6.70%	9/15/2038		613		798,469
Hilcorp Energy I LP/Hilcorp Finance Co.†	7.625%	4/15/2021		2,068		2,166,230
KazMunayGas National Co. JSC (Kazakhstan)†(d)	4.875%	5/7/2025		300		277,050
Kunlun Energy Co., Ltd. (Hong Kong)†(d)	3.75%	5/13/2025		2,400		2,387,280
LUKOIL International Finance BV (Netherlands)†(d)	6.656%	6/7/2022		500		528,750
MEG Energy Corp. (Canada)†(d)	6.50%	3/15/2021		650		633,750
MEG Energy Corp. (Canada)†(d)	7.00%	3/31/2024		1,668		1,617,960
Petroleos de Venezuela SA (Venezuela)(d)	5.25%	4/12/2017		2,771		1,508,809
Petroleos de Venezuela SA (Venezuela)†(d)	6.00%	11/15/2026		1,268		478,670
Petroleos de Venezuela SA (Venezuela)†(d)	8.50%	11/2/2017		1,406		1,045,712
Petroleos Mexicanos (Mexico)†(d)	4.25%	1/15/2025		380		378,860
Petroleum Co. of Trinidad & Tobago Ltd. (Trinidad/Tobago)†(d)	9.75%	8/14/2019		1,000		1,180,500
Plains All American Pipeline LP/PAA Finance Corp.	3.60%	11/1/2024		3,387		3,339,870
SEACOR Holdings, Inc.	7.375%	10/1/2019		1,244		1,299,980
Valero Energy Corp.	10.50%	3/15/2039		1,622		2,618,524
Whiting Canadian Holding Co. ULC	8.125%	12/1/2019		3,139		3,343,035
Total						32,295,841
Oil: Crude Producers 1.43%
Apache Corp.	6.00%	1/15/2037		2,116		2,419,015
Columbia Pipeline Group, Inc.†	3.30%	6/1/2020		3,116		3,144,306
Enbridge Energy Partners LP	9.875%	3/1/2019		3,221		4,030,160
Enterprise Products Operating LLC	7.55%	4/15/2038		3,519		4,708,865
Kerr-McGee Corp.	7.125%	10/15/2027		1,000		1,269,063
Kerr-McGee Corp.	7.875%	9/15/2031		2,702		3,646,544
OGX Austria GmbH (Austria)†(b)(d)	8.50%	6/1/2018		1,730		10,382
Regency Energy Partners LP/Regency Energy Finance Corp.	5.75%	9/1/2020		325		359,125
Regency Energy Partners LP/Regency Energy Finance Corp.	5.875%	3/1/2022		3,240		3,555,900
Ruby Pipeline LLC†	6.00%	4/1/2022		3,557		3,928,628

38 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Oil: Crude Producers (continued)
Sabine Pass Liquefaction LLC	6.25%	3/15/2022	$	2,960	$	3,130,200
Southeast Supply Header LLC†	4.25%	6/15/2024		1,554		1,563,472
Transportadora de Gas Internacional SA ESP (Colombia)†(d)	5.70%	3/20/2022		3,150		3,373,650
Total						35,139,310
Oil: Integrated Domestic 0.57%
Freeport-McMoran Oil & Gas LLC/
FCX Oil & Gas, Inc.	6.75%	2/1/2022		3,963		4,230,502
Kinder Morgan Energy Partners LP	5.40%	9/1/2044		3,050		2,936,400
Kinder Morgan Energy Partners LP	7.40%	3/15/2031		775		892,897
Kinder Morgan Energy Partners LP	7.50%	11/15/2040		1,500		1,802,490
Rowan Cos., Inc.	7.875%	8/1/2019		3,679		4,153,374
Total						14,015,663
Oil: Integrated International 0.77%
Eni SpA (Italy)†(d)	5.70%	10/1/2040		8,032		8,609,083
Petrobras Global Finance BV (Netherlands)(d)	4.375%	5/20/2023		2,026		1,813,270
Petroleos Mexicanos (Mexico)(d)	5.50%	6/27/2044		250		244,750
Weatherford International Ltd.	9.875%	3/1/2039		4,251		5,096,048
YPF SA (Argentina)†(d)	8.50%	7/28/2025		3,147		3,224,731
Total						18,987,882
Paper & Forest Products 0.55%
Georgia-Pacific LLC	8.875%	5/15/2031		7,392		10,966,468
Mercer International, Inc. (Canada)(d)	7.75%	12/1/2022		2,400		2,598,000
Total						13,564,468
Real Estate Investment Trusts 1.55%
American Tower Corp.	4.00%	6/1/2025		4,622		4,604,127
ARC Properties Operating Partnership LP	3.00%	2/6/2019		9,042		8,725,530
CBRE Services, Inc.	5.25%	3/15/2025		568		609,180
China Overseas Finance Cayman V Ltd.	3.95%	11/15/2022		3,150		3,147,723
China South City Holdings Ltd. (Hong Kong)(d)	8.25%	1/29/2019		1,160		1,133,900
EPR Properties	5.25%	7/15/2023		4,325		4,612,612
EPR Properties	7.75%	7/15/2020		3,304		3,974,639
Fibra Uno Trust (Mexico)†(d)	5.25%	12/15/2024		650		690,625
Healthcare Realty Trust, Inc.	5.75%	1/15/2021		3,966		4,463,709
Hospitality Properties Trust	4.65%	3/15/2024		1,218		1,238,499
Hospitality Properties Trust	5.00%	8/15/2022		1,250		1,326,439

See Notes to Financial Statements. 39

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Real Estate Investment Trusts (continued)
Iron Mountain, Inc.	6.00%	8/15/2023	$	2,525	$	2,685,969
Iron Mountain, Inc.	8.375%	8/15/2021		364		379,834
Kilroy Realty LP	6.625%	6/1/2020		517		605,833
Total						38,198,619
Retail 0.88%
Amazon.com, Inc.	4.80%	12/5/2034		12,269		12,749,515
Chinos Intermediate Holdings A, Inc. PIK†	7.75%	5/1/2019		4,023		3,469,838
DBP Holding Corp.†	7.75%	10/15/2020		838		735,345
Pacific Emerald Pte Ltd. (Singapore)(d)	9.75%	7/25/2018		775		826,344
QVC, Inc.	5.125%	7/2/2022		1,411		1,482,525
SACI Falabella (Chile)†(d)	4.375%	1/27/2025		700		719,191
Walgreens Boots Alliance, Inc.	4.80%	11/18/2044		1,606		1,595,583
Total						21,578,341
Savings & Loan 0.20%
First Niagara Financial Group, Inc.	7.25%	12/15/2021		4,444		4,974,711
Steel 0.40%
Allegheny Technologies, Inc.	6.375%	8/15/2023		4,723		4,959,008
Allegheny Technologies, Inc.	9.375%	6/1/2019		4,085		4,871,363
Total						9,830,371
Technology 0.65%
Alibaba Group Holding Ltd. (China)†(d)	3.60%	11/28/2024		6,600		6,525,836
Tencent Holdings Ltd. (China)†(d)	3.375%	5/2/2019		3,500		3,612,903
VeriSign, Inc.	4.625%	5/1/2023		5,953		5,908,352
Total						16,047,091
Telecommunications 1.90%
AT&T, Inc.	4.50%	5/15/2035		2,051		1,950,606
AT&T, Inc.	6.30%	1/15/2038		1,415		1,618,140
AT&T, Inc.	6.50%	9/1/2037		6,041		7,067,293
Bharti Airtel International Netherlands BV (Netherlands)†(d)	5.35%	5/20/2024		2,389		2,625,511
Consolidated Communications, Inc.	10.875%	6/1/2020		1,845		2,073,319
Digicel Group Ltd. (Jamaica)†(d)	7.125%	4/1/2022		1,000		975,000
Frontier Communications Corp.	9.25%	7/1/2021		4,767		5,237,741
GTE Corp.	6.94%	4/15/2028		9,758		12,331,438
Millicom International Cellular SA (Luxembourg)†(d)	4.75%	5/22/2020		2,500		2,493,850

40 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Telecommunications (continued)
MTN Mauritius Investments Ltd. (Mauritius)†(d)	4.755%	11/11/2024	$	1,865	$	1,906,963
T-Mobile USA, Inc.	6.464%	4/28/2019		2,822		2,922,534
Turk Telekomunikasyon AS (Turkey)†(d)	4.875%	6/19/2024		3,400		3,404,284
Verizon Communications, Inc.	5.85%	9/15/2035		1,856		2,097,256
Total						46,703,935
Textiles Products 0.10%
Mohawk Industries, Inc.	6.125%	1/15/2016		2,403		2,477,000
Tobacco 0.22%
Altria Group, Inc.	9.95%	11/10/2038		3,207		5,374,906
Transportation: Miscellaneous 0.06%
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(d)	5.875%	8/12/2020		1,500		1,603,425
Utilities 0.59%
Aquarion Co.†	4.00%	8/15/2024		4,241		4,270,577
Origin Energy Finance Ltd. (Australia)†(d)	3.50%	10/9/2018		1,500		1,538,280
Public Service Co. of New Mexico	7.95%	5/15/2018		2,283		2,672,617
Williams Cos., Inc. (The)	8.75%	3/15/2032		4,707		6,062,917
Total						14,544,391
Utilities: Electrical 0.15%
Tennessee Valley Authority	3.50%	12/15/2042		3,740		3,661,247
Total Corporate Bonds (cost $785,179,526)						789,737,998
FLOATING RATE LOAN(e) 0.08%
Gaming
Seminole Tribe of Florida Initial Term Loan (cost $1,880,815)	3.00%	4/29/2020		1,885		1,887,759
FOREIGN BONDS(c) 0.11%
Brazil 0.03%
BRF SA†	7.75%	5/22/2018	BRL	2,500		660,327
Mexico 0.08%
Red de Carreteras de Occidente S.A.P.I.B. de CV†	9.00%	6/10/2028	MXN	31,250		1,983,492
Total Foreign Bonds (cost $3,748,146)						2,643,819

See Notes to Financial Statements. 41

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
FOREIGN GOVERNMENT OBLIGATIONS 4.36%
Argentina 0.15%
City of Buenos Aires†(d)	9.95%	3/1/2017	$	800	$	832,000
Provincia de Neuquen†(d)	7.875%	4/26/2021		365		370,475
Republic of Argentina(b)(d)	8.28%	12/31/2033		620		621,250
Republic of Argentina(d)	8.75%	5/7/2024		1,870		1,833,367
Total						3,657,092
Bahamas 0.09%
Commonwealth of Bahamas†(d)	6.95%	11/20/2029		1,943		2,307,313
Bermuda 0.20%
Bermuda Government†	5.603%	7/20/2020		4,450		4,984,000
Brazil 0.16%
Federal Republic of Brazil(d)	4.25%	1/7/2025		1,000		985,250
Federal Republic of Brazil(d)	5.00%	1/27/2045		1,000		932,500
Federal Republic of Brazil†(d)	5.333%	2/15/2028		2,000		1,950,000
Total						3,867,750
Cayman Islands 0.04%
Cayman Islands Government†	5.95%	11/24/2019		800		922,000
Chile 0.03%
Republic of Chile(d)	3.125%	3/27/2025		713		730,825
Colombia 0.07%
Republic of Colombia(d)	4.00%	2/26/2024		1,758		1,793,160
Dominican Republic 0.27%
Dominican Republic†(d)	5.50%	1/27/2025		3,195		3,258,900
Dominican Republic†(d)	6.60%	1/28/2024		800		874,000
Dominican Republic†(d)	6.85%	1/27/2045		1,550		1,612,000
Dominican Republic†(d)	9.04%	1/23/2018		942		1,017,046
Total						6,761,946
El Salvador 0.08%
Republic of El Salvador†(d)	6.375%	1/18/2027		1,984		1,976,560
Ethiopia 0.03%
Federal Republic of Ethiopia†(d)	6.625%	12/11/2024		800		810,000

42 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Gabon 0.02%
Republic of Gabon†(d)	6.375%	12/12/2024	$	400	$	397,600
Ghana 0.12%
Republic of Ghana†(d)	7.875%	8/7/2023		3,100		2,935,173
Honduras 0.16%
Honduras Government†(d)	7.50%	3/15/2024		3,626		3,970,470
Hungary 0.13%
Republic of Hungary(d)	5.375%	3/25/2024		2,946		3,272,122
Indonesia 0.36%
Perusahaan Penerbit SBSN†(d)	3.30%	11/21/2022		2,150		2,085,500
Perusahaan Penerbit SBSN†(d)	4.00%	11/21/2018		1,700		1,787,125
Perusahaan Penerbit SBSN†(d)	4.325%	5/28/2025		2,275		2,276,137
Republic of Indonesia†(d)	5.875%	1/15/2024		670		755,425
Republic of Indonesia†(d)	6.75%	1/15/2044		1,580		1,919,700
Total						8,823,887
Ivory Coast 0.05%
Ivory Coast Bond†(d)	6.375%	3/3/2028		1,175		1,177,938
Kazakhstan 0.04%
Republic of Kazakhstan†(d)	4.875%	10/14/2044		1,000		900,000
Latvia 0.10%
Republic of Latvia†(d)	5.25%	6/16/2021		2,047		2,354,050
Lithuania 0.20%
Republic of Lithuania†(d)	7.375%	2/11/2020		4,078		4,970,062
Mexico 0.26%
United Mexican States(d)	4.00%	10/2/2023		4,421		4,619,945
United Mexican States(d)	5.55%	1/21/2045		1,214		1,368,785
United Mexican States(d)	5.95%	3/19/2019		400		454,400
Total						6,443,130
Panama 0.11%
Republic of Panama(d)	4.00%	9/22/2024		2,250		2,317,500
Republic of Panama(d)	4.30%	4/29/2053		550		506,688
Total						2,824,188

See Notes to Financial Statements. 43

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Paraguay 0.18%
Republic of Paraguay†(d)	4.625%	1/25/2023	$	3,150	$	3,244,500
Republic of Paraguay†(d)	6.10%	8/11/2044		1,170		1,263,600
Total						4,508,100
Philippines 0.23%
Republic of Philippines(d)	3.95%	1/20/2040		2,400		2,514,000
Republic of Philippines(d)	7.50%	9/25/2024		1,979		2,646,912
Republic of Philippines(d)	9.50%	10/21/2024		300		455,058
Total						5,615,970
Poland 0.09%
Republic of Poland(d)	4.00%	1/22/2024		2,120		2,276,562
Romania 0.02%
Republic of Romania†(d)	6.125%	1/22/2044		320		390,304
Russia 0.12%
Russia Eurobonds†(d)	4.875%	9/16/2023		2,900		2,885,500
Slovenia 0.11%
Republic of Slovenia†(d)	5.25%	2/18/2024		2,456		2,778,664
South Africa 0.11%
Republic of South Africa(d)	4.665%	1/17/2024		1,020		1,068,905
Republic of South Africa(d)	5.50%	3/9/2020		1,400		1,541,750
Total						2,610,655
Trinidad And Tobago 0.08%
Republic of Trinidad & Tobago†(d)	4.375%	1/16/2024		1,830		1,971,825
Turkey 0.46%
Republic of Turkey(d)	4.25%	4/14/2026		600		582,870
Republic of Turkey(d)	5.625%	3/30/2021		3,124		3,424,685
Republic of Turkey(d)	5.75%	3/22/2024		5,150		5,702,121
Republic of Turkey(d)	7.00%	6/5/2020		1,300		1,500,850
Total						11,210,526
Uruguay 0.15%
Republic of Uruguay(d)	4.50%	8/14/2024		2,757		2,956,882
Republic of Uruguay PIK(d)	7.875%	1/15/2033		590		826,000
Total						3,782,882

44 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Venezuela 0.04%
Republic of Venezuela(d)	9.375%		1/13/2034	$	2,389	$	971,129
Vietnam 0.10%
Socialist Republic of Vietnam†(d)	4.80%		11/19/2024		2,350		2,405,813
Total Foreign Government Obligations (cost $106,381,541)							107,287,196
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.95%
Federal Home Loan Mortgage Corp. Q001 XA IO	2.38%	#	2/25/2032		18,532		3,657,697
Government National Mortgage Assoc. 2014-78 A	2.20%		4/16/2047		644		648,513
Government National Mortgage Assoc. 2015-47 AE	2.90%	#	11/16/2055		9,740		9,947,073
Government National Mortgage Assoc. 2015-48 AS	2.90%	#	2/16/2049		7,490		7,633,726
Government National Mortgage Assoc. 2015-73 AC	2.90%		2/16/2053		1,400		1,432,238
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $23,175,272)							23,319,247
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 15.87%
Federal Home Loan Mortgage Corp.	2.158%	#	6/1/2043		10,272		10,511,784
Federal Home Loan Mortgage Corp.	3.103%	#	10/1/2044		10,590		11,014,317
Federal Home Loan Mortgage Corp.	3.161%	#	7/1/2044		2,950		3,072,168
Federal Home Loan Mortgage Corp.	4.00%		12/1/2044		9,513		10,333,454
Federal Home Loan Mortgage Corp.	5.00%		6/1/2026		4,633		4,995,507
Federal National Mortgage Assoc.	2.805%	#	11/1/2044		13,734		14,256,914
Federal National Mortgage Assoc. (f)	3.00%		TBA		65,320		67,020,916
Federal National Mortgage Assoc.	3.50%		4/1/2043 - 5/1/2045		46,183		48,477,712
Federal National Mortgage Assoc.(f)	3.50%		TBA		33,500		34,919,818
Federal National Mortgage Assoc.	4.00%		10/1/2040 - 11/1/2044		30,698		32,967,225
Federal National Mortgage Assoc.(f)	4.00%		TBA		13,140		14,032,855
Federal National Mortgage Assoc.	4.50%		4/1/2040 - 1/1/2043		73,663		80,272,686
Federal National Mortgage Assoc.(f)	4.50%		TBA		42,858		46,604,057
Federal National Mortgage Assoc.	5.50%		9/1/2034 - 4/1/2036		10,965		12,465,493
Total Government Sponsored Enterprises Pass-Throughs (cost $388,904,892)							390,944,906
MUNICIPAL BONDS 0.34%
Electric Revenue Bonds 0.06%
American Municipal Power, Inc.	7.834%		2/15/2041		1,000		1,450,970

See Notes to Financial Statements. 45

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Power 0.09%
Municipal Elec Auth of Georgia	7.055%		4/1/2057	$	1,900	$	2,176,488
Toll Roads 0.19%
Metropolitan Washington Arpt	7.462%		10/1/2046		2,170		2,999,570
North Texas Tollway Auth	8.91%		2/1/2030		1,475		1,783,201
Total							4,782,771
Total Municipal Bonds (cost $7,277,298)							8,410,229
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.57%
Bear Stearns ALT-A Trust 2004-8 1A	0.881%	#	9/25/2034		2,212		2,157,287
Citigroup Commercial Mortgage Trust 2014-GC25 B	4.345%		10/10/2047		1,070		1,142,928
Citigroup Commercial Mortgage Trust 2014-GC25 C	4.534%	#	10/10/2047		1,215		1,262,926
Citigroup Commercial Mortgage Trust 2014-GC25 XB IO	0.189%	#	10/10/2047		50,626		997,585
Commercial Mortgage Pass Through Certificates 2012-LTRT A2†	3.40%		10/5/2030		5,085		5,175,661
Commercial Mortgage Pass-Through Certificates 2013-WWP D†	3.898%		3/10/2031		5,643		5,800,170
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO	1.31%	#	8/10/2047		5,509		423,080
Commercial Mortgage Pass-Through Certificates 2014-UBS5 B	4.514%	#	9/10/2047		2,706		2,922,224
Extended Stay America Trust 2013-ESH5 A15†	1.278%		12/5/2031		1,059		1,051,937
Granite Master Issuer plc 2007-1 4A1 (United Kingdom)(d)	0.404%	#	12/20/2054		2,418		2,407,696
GS Mortgage Securities Corp. II 2012-TMSQ A†	3.007%		12/10/2030		1,400		1,418,042
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO	1.279%	#	4/15/2047		5,700		306,675
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO	0.283%	#	4/15/2047		1,595		42,319
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C25 AS	4.065%		11/15/2047		2,000		2,153,136
MASTR Asset Securitization Trust 2006-3 1A3	6.00%		10/25/2036		516		507,095
MASTR Asset Securitization Trust 2006-3 1A8	6.00%		10/25/2036		547		537,722
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1	6.25%		10/25/2036		1,672		1,478,071
MSCG Trust 2015-ALDR B†	3.577%	#	6/7/2035		1,875		1,897,874
Sequoia Mortgage Trust 2012-4 A3	2.069%		9/25/2042		943		905,792
Springleaf Mortgage Loan Trust 2012-3A A†	1.57%		12/25/2059		1,240		1,246,342

46 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Springleaf Mortgage Loan Trust 2013-1A A†	1.27%		6/25/2058	$	1,067	$	1,068,473
UBS-BAMLL Trust 2012-WRM E†	4.238%	#	6/10/2030		3,905		3,772,173
Wells Fargo Commercial Mortgage Trust 2013-120B D†	2.71%	#	3/18/2028		2,405		2,345,600
Wells Fargo Commercial Mortgage Trust 2013-LC12 C	4.301%	#	7/15/2046		4,894		5,093,590
Wells Fargo Commercial Mortgage Trust 2013-LC12 D†	4.301%	#	7/15/2046		5,195		5,054,158
Wells Fargo Commercial Mortgage Trust 2015-C28 D	4.277%	#	5/15/2048		2,070		1,852,393
Wells Fargo Commercial Mortgage Trust 2015-LC20 B	3.719%		4/15/2050		2,653		2,690,931
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO	1.228%	#	5/15/2047		11,281		818,594
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO	0.573%	#	5/15/2047		2,205		108,455
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO	0.719%	#	10/15/2057		69,625		3,220,071
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO	0.307%	#	10/15/2057		100,000		2,384,650
WF-RBS Commercial Mortgage Trust 2014-C25 B	4.236%	#	11/15/2047		1,000		1,063,635
Total Non-Agency Commercial Mortgage-Backed Securities (cost $61,646,658)							63,307,285
U.S. TREASURY OBLIGATIONS 27.26%
U.S. Treasury Bond	2.50%		2/15/2045		89,294		82,792,325
U.S. Treasury Note	0.25%		4/15/2016		29,095		29,095,000
U.S. Treasury Note	0.625%		2/15/2017		138,141		138,346,001
U.S. Treasury Note	0.625%		8/31/2017		65,484		65,376,541
U.S. Treasury Note	1.25%		11/30/2018		136,583		137,223,301
U.S. Treasury Note	1.375%		4/30/2020		171,810		171,058,331
U.S. Treasury Note	1.75%		4/30/2022		11,273		11,206,061
U.S. Treasury Note	2.00%		4/30/2016		30,414		30,889,219
U.S. Treasury Note	2.125%		5/15/2025		5,509		5,525,786
Total U.S. Treasury Obligations (cost $669,219,377)							671,512,565
Total Long-Term Investments (cost $2,563,722,920)							2,575,664,853

See Notes to Financial Statements. 47

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
SHORT-TERM INVESTMENTS 3.40%
COMMERCIAL PAPER 0.10%
Health Care Products
Thermo Fisher Scientific, Inc. (cost $2,498,615)	Zero Coupon	6/22/2015	$	2,500	$	2,498,615
CORPORATE BOND 0.05%
Banks: Money Center
Zions Bancorporation (cost $1,271,596)	5.50%	11/16/2015		1,250		1,268,846
U.S. TREASURY OBLIGATION 0.46%
U.S. Treasury Note (cost $11,267,820)	2.125%	12/31/2015		11,146		11,274,001
REPURCHASE AGREEMENT 2.79%
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $170,000 of U.S. Treasury Note at 0.375% due 10/31/2016; $47,270,000 of U.S. Treasury Note at 2.00% due 11/30/2020 and $18,980,000 of U.S. Treasury Note at 3.625% due 2/15/2021 value: $70,008,950; proceeds: $68,628,965 (cost $68,628,965)				68,629		68,628,965
Total Short-Term Investments (cost $83,666,996)						83,670,427
Total Investments in Securities 107.97% (cost $2,647,389,916)						2,659,335,280
Liabilities in Excess of Cash and Other Assets(g) (7.97%)						(196,412,209	)
Net Assets 100.00%					$	2,462,923,071

BRL	Brazilian real.
MXN	Mexican peso.
IO	Interest Only.
PIK	Payment-in-kind.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
#	Variable rate security. The interest rate represents the rate in effect at May 31, 2015.
~	Deferred interest debentures pay the stated rate, after which they pay a predetermined interest rate.
(a)	Securities purchased on a when-issued basis (See Note 2(j)).

48 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

(b)	Defaulted security.
(c)	Investment in non-U.S. dollar denominated securities.
(d)	Foreign security traded in U.S. dollars.
(e)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2015.
(f)	To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned.
(g)	Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows:

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date	U.S. $ Current Value	Unrealized Appreciation
Brazilian real	Sell	Bank of America	8/12/2015	2,300,000	$   735,407	$   704,212		$31,195
euro	Sell	Morgan Stanley	8/13/2015	1,900,000	2,119,134	2,088,866		30,268
Mexican peso	Sell	J.P. Morgan	8/12/2015	30,900,000	2,028,698	1,996,398		32,300
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts								$93,763

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date	U.S. $ Current Value	Unrealized Depreciation
euro	Buy	Bank of America	8/13/2015	1,900,000	$2,117,240	$2,088,866	$(28,374)

Open Futures Contracts at May 31, 2015:

Type	Expiration	Contracts	Position	Fair Value	Unrealized Appreciation
U.S. 5-Year Treasury Note	September 2015	1,291	Long	$154,566,993	$471,768

					Unrealized
Type	Expiration	Contracts	Position	Fair Value	Depreciation
U.S. 10-Year Treasury Note	September 2015	547	Short	$(69,845,063)	$(244,548)

See Notes to Financial Statements. 49

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)(3)	Level 1			Level 2			Level 3		Total
Asset-Backed Securities	$	–		$	516,598,287		$	–	$	516,598,287
Convertible Bonds		–			–			15,562		15,562
Corporate Bonds		–			791,006,844			–		791,006,844
Floating Rate Loan		–			1,887,759			–		1,887,759
Foreign Bonds		–			2,643,819			–		2,643,819
Foreign Government Obligations		–			107,287,196			–		107,287,196
Government Sponsored Enterprises Collateralized Mortgage Obligations		–			23,319,247			–		23,319,247
Government Sponsored Enterprises Pass-Throughs		–			390,944,906			–		390,944,906
Municipal Bonds		–			8,410,229			–		8,410,229
Non-Agency Commercial Mortgage-Backed Securities		–			63,307,285			–		63,307,285
U.S. Treasury Obligations		–			682,786,566			–		682,786,566
Commercial Paper		–			2,498,615			–		2,498,615
Repurchase Agreement		–			68,628,965			–		68,628,965
Total	$	–		$	2,659,319,718		$	15,562	$	2,659,335,280
Other Financial Instruments
Forward Foreign Currency Exchange Contracts
Assets	$	–		$	93,763		$	–	$	93,763
Liabilities		–			(28,374	)		–		(28,374	)
Futures Contracts
Assets		471,768			–			–		471,768
Liabilities		(244,548	)		–			–		(244,548	)
Total	$	227,220		$	65,389		$	–	$	292,609

(1)	Refer to Note 2(o) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography.
(3)	There were no level transfers during the period ended May 31, 2015.

50 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

TOTAL RETURN FUND May 31, 2015

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

Investment Type	Convertible Bonds			Total Return Swap
Balance as of December 1, 2014	$	–		$	164,188
Accrued discounts/premiums		–			–
Realized gain (loss)		–			(43,517	)
Change in unrealized appreciation/depreciation		(107,828	)		–
Purchases		123,390			–
Sales		–			(120,671	)
Net transfers in or out of Level 3		–			–
Balance as of May 31, 2015	$	15,562		$	–

See Notes to Financial Statements. 51

Statements of Assets and Liabilities (unaudited)

May 31, 2015

	Core Fixed Income Fund			Total Return Fund
ASSETS:
Investments in securities, at cost	$	1,464,744,512		$	2,647,389,916
Investments in securities, at fair value	$	1,475,774,293		$	2,659,335,280
Deposits with brokers for futures collateral		371,195			625,795
Cash		28,733			9,005
Receivables:
Interest and dividends		7,748,321			16,519,226
Investment securities sold		48,745,243			77,722,581
Capital shares sold		5,347,052			12,469,612
From advisor (See Note 3)		–			216,411
Variation margin		83,873			71,417
Unrealized appreciation on forward foreign currency exchange contracts		–			93,763
Prepaid expenses and other assets		96,787			129,073
Total assets		1,538,195,497			2,767,192,163
LIABILITIES:
Payables:
Investment securities purchased		199,226,163			293,731,268
Capital shares reacquired		1,695,415			3,603,890
12b-1 distribution plan		200,255			473,464
Trustees’ fees		94,928			158,419
Management fee		264,741			849,465
Fund administration		44,455			82,522
To affiliates (See Note 3)		14,028			–
Unrealized depreciation on forward foreign currency exchange contracts		–			28,374
Distributions payable		2,497,919			5,217,288
Accrued expenses		216,343			124,402
Total liabilities		204,254,247			304,269,092
NET ASSETS	$	1,333,941,250		$	2,462,923,071
COMPOSITION OF NET ASSETS:
Paid-in capital	$	1,323,074,908		$	2,453,258,809
Distributions in excess of net investment income		(6,261,884	)		(9,640,610	)
Accumulated net realized gain on investments, futures contracts and foreign currency related transactions		5,948,465			7,069,202
Net unrealized appreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies		11,179,761			12,235,670
Net Assets	$	1,333,941,250		$	2,462,923,071

52 See Notes to Financial Statements.

Statements of Assets and Liabilities (unaudited)(concluded)

May 31, 2015

	Core Fixed Income Fund		Total Return Fund
Net assets by class:
Class A Shares	$	428,909,318	$	1,200,222,030
Class B Shares	$	6,200,992	$	13,263,021
Class C Shares	$	82,739,604	$	201,678,106
Class F Shares	$	375,567,895	$	625,734,443
Class I Shares	$	411,981,923	$	296,665,025
Class P Shares	$	11,693	$	2,997,711
Class R2 Shares	$	288,511	$	6,551,983
Class R3 Shares	$	28,241,314	$	115,810,752
Outstanding shares by class (unlimited number of authorized shares of beneficial interest):
Class A Shares		38,721,028		113,718,053
Class B Shares		561,499		1,258,280
Class C Shares		7,502,830		19,125,891
Class F Shares		33,912,311		59,294,427
Class I Shares		37,196,386		28,055,984
Class P Shares		1,052		282,695
Class R2 Shares		26,040		620,879
Class R3 Shares		2,549,222		10,976,034
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value	$	11.08	$	10.55
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)	$	11.34	$	10.79
Class B Shares-Net asset value	$	11.04	$	10.54
Class C Shares-Net asset value	$	11.03	$	10.54
Class F Shares-Net asset value	$	11.07	$	10.55
Class I Shares-Net asset value	$	11.08	$	10.57
Class P Shares-Net asset value	$	11.12	$	10.60
Class R2 Shares-Net asset value	$	11.08	$	10.55
Class R3 Shares-Net asset value	$	11.08	$	10.55

See Notes to Financial Statements. 53

Statements of Operations (unaudited)

For the Six Months Ended May 31, 2015

	Core Fixed Income Fund			Total Return Fund
Investment income:
Interest and other	$	13,892,741		$	29,504,610
Total investment income		13,892,741			29,504,610
Expenses:
Management fee		2,825,309			4,646,606
12b-1 distribution plan-Class A		417,086			1,074,203
12b-1 distribution plan-Class B		32,959			72,710
12b-1 distribution plan-Class C		345,383			797,015
12b-1 distribution plan-Class F		181,110			287,677
12b-1 distribution plan-Class P		26			6,675
12b-1 distribution plan-Class R2		1,352			16,060
12b-1 distribution plan-Class R3		63,648			248,333
Shareholder servicing		695,438			1,202,258
Fund administration		257,599			445,821
Registration		74,123			101,668
Reports to shareholders		51,658			80,758
Professional		31,148			34,485
Trustees’ fees		19,199			30,321
Custody		13,541			19,331
Subsidy (See Note 3)		94,690			–
Other		33,490			48,465
Gross expenses		5,137,759			9,112,386
Expense reductions (See Note 9)		(519	)		(1,026	)
Management fee waived (See Note 3)		(1,287,997	)		(1,332,373	)
Net expenses		3,849,243			7,778,987
Net investment income		10,043,498			21,725,623
Net realized and unrealized gain (loss):
Net realized gain on investments		11,099,291			13,258,376
Net realized gain on futures contracts and foreign currency related transactions		381,711			1,410,634
Net change in unrealized appreciation/depreciation on investments		(9,398,861	)		(16,215,378	)
Net change in unrealized appreciation/depreciation on futures contracts and translation of assets and liabilities denominated in foreign currencies		149,980			228,760
Net realized and unrealized gain (loss)		2,232,121			(1,317,608	)
Net Increase in Net Assets Resulting From Operations	$	12,275,619		$	20,408,015

54 See Notes to Financial Statements.

Statements of Changes in Net Assets

	Core Fixed Income Fund
INCREASE IN NET ASSETS	For the Six Months Ended May 31, 2015 (unaudited)				For the Year Ended November 30, 2014
Operations:
Net investment income		$	10,043,498			$	17,452,365
Net realized gain on investments and futures contracts			11,481,002				31,966,176
Net change in unrealized appreciation/depreciation on investments and futures contracts			(9,248,881	)			20,917,582
Net increase in net assets resulting from operations			12,275,619				70,336,123
Distributions to shareholders from:
Net investment income
Class A			(5,193,881	)			(8,981,980	)
Class B			(56,198	)			(120,548	)
Class C			(799,168	)			(1,473,253	)
Class F			(4,683,879	)			(7,770,257	)
Class I			(5,249,416	)			(12,381,108	)
Class P			(134	)			(931	)
Class R2			(4,746	)			(20,119	)
Class R3			(281,545	)			(400,242	)
Total distributions to shareholders			(16,268,967	)			(31,148,438	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares			241,972,737				428,505,500
Reinvestment of distributions			15,132,358				29,008,969
Cost of shares reacquired			(187,646,452	)			(474,846,500	)
Net increase (decrease) in net assets resulting from capital share transactions			69,458,643				(17,332,031	)
Net increase in net assets			65,465,295				21,855,654
NET ASSETS:
Beginning of period		$	1,268,475,955			$	1,246,620,301
End of period		$	1,333,941,250			$	1,268,475,955
Distributions in excess of net investment income		$	(6,261,884	)		$	(36,415	)

See Notes to Financial Statements. 55

Statements of Changes in Net Assets (concluded)

	Total Return Fund
INCREASE IN NET ASSETS	For the Six Months Ended May 31, 2015 (unaudited)				For the Year Ended November 30, 2014
Operations:
Net investment income		$	21,725,623			$	31,817,855
Net realized gain on investments, futures contracts and foreign currency related transactions			14,669,010				34,360,880
Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies			(15,986,618	)			24,974,482
Net increase in net assets resulting from operations			20,408,015				91,153,217
Distributions to shareholders from:
Net investment income
Class A			(15,167,303	)			(25,332,980	)
Class B			(148,628	)			(375,890	)
Class C			(2,097,699	)			(3,744,283	)
Class F			(8,383,148	)			(11,575,421	)
Class I			(4,006,968	)			(3,780,388	)
Class P			(38,282	)			(86,795	)
Class R2			(65,222	)			(90,353	)
Class R3			(1,266,161	)			(1,583,205	)
Net realized gain
Class A			(5,315,553	)			–
Class B			(86,750	)			–
Class C			(1,018,385	)			–
Class F			(2,965,830	)			–
Class I			(1,241,901	)			–
Class P			(16,476	)			–
Class R2			(23,664	)			–
Class R3			(503,410	)			–
Total distributions to shareholders			(42,345,380	)			(46,569,315	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares			802,850,748				769,105,496
Reinvestment of distributions			36,995,026				41,945,347
Cost of shares reacquired			(264,891,405	)			(477,980,406	)
Net increase in net assets resulting from capital share transactions			574,954,369				333,070,437
Net increase in net assets			553,017,004				377,654,339
NET ASSETS:
Beginning of period		$	1,909,906,067			$	1,532,251,728
End of period		$	2,462,923,071			$	1,909,906,067
Distributions in excess of net investment income		$	(9,640,610	)		$	(192,822	)

56 See Notes to Financial Statements.

Financial Highlights

CORE FIXED INCOME FUND

	Class A Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.11		$10.78		$11.40		$11.21		$11.39		$11.34
Investment operations:
Net investment income(a)	.08		.14		.13		.16		.24		.30
Net realized and unrealized gain (loss)	.03		.45		(.33	)	.59		.33		.36
Total from investment operations	.11		.59		(.20	)	.75		.57		.66
Distributions to shareholders from:
Net investment income	(.14	)	(.26	)	(.24	)	(.30	)	(.34	)	(.37	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.14	)	(.26	)	(.42	)	(.56	)	(.75	)	(.61	)
Net asset value, end of period	$11.08		$11.11		$10.78		$11.40		$11.21		$11.39
Total Return(b)	.97	%(c)	5.52	%	(1.79	)%	6.94	%	5.41	%	6.12	%
Ratios to Average Net Assets:
Expenses, excluding  expense reductions and  including management fee waived and expenses reimbursed	.32	%(c)	.84	%	.85	%	.86	%	.87	%	.88	%
Expenses, including  expense reductions, management fee waived  and expenses reimbursed	.32	%(c)	.84	%	.85	%	.86	%	.87	%	.88	%
Expenses, excluding  expense reductions, management fee waived  and expenses reimbursed	.42	%(c)	.85	%	.85	%	.86	%	.87	%	.90	%
Net investment income	.76	%(c)	1.30	%	1.16	%	1.38	%	2.17	%	2.70	%
Supplemental Data:
Net assets, end of period (000)	$428,909		$399,393		$401,904		$482,408		$367,551		$339,581
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 57

Financial Highlights (continued)

CORE FIXED INCOME FUND

	Class B Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.08		$10.75		$11.37		$11.18		$11.36		$11.31
Investment operations:
Net investment income(a)	.04		.06		.04		.07		.16		.22
Net realized and unrealized gain (loss)	.01		.44		(.33	)	.59		.32		.36
Total from investment operations	.05		.50		(.29	)	.66		.48		.58
Distributions to shareholders from:
Net investment income	(.09	)	(.17	)	(.15	)	(.21	)	(.25	)	(.29	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.09	)	(.17	)	(.33	)	(.47	)	(.66	)	(.53	)
Net asset value, end of period	$11.04		$11.08		$10.75		$11.37		$11.18		$11.36
Total Return(b)	.48	%(c)	4.70	%	(2.58	)%	6.11	%	4.59	%	5.31	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.72	%(c)	1.64	%	1.66	%	1.66	%	1.67	%	1.65	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.72	%(c)	1.64	%	1.66	%	1.66	%	1.67	%	1.65	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.82	%(c)	1.65	%	1.66	%	1.66	%	1.67	%	1.68	%
Net investment income	.36	%(c)	.51	%	.37	%	.62	%	1.42	%	1.98	%
Supplemental Data:
Net assets, end of period (000)	$6,201		$7,020		$8,512		$13,319		$16,269		$23,487
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

58 See Notes to Financial Statements.

Financial Highlights (continued)

CORE FIXED INCOME FUND

	Class C Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.06		$10.73		$11.35		$11.16		$11.34		$11.29
Investment operations:
Net investment income(a)	.05		.07		.06		.08		.17		.23
Net realized and unrealized gain (loss)	.02		.45		(.34	)	.60		.33		.36
Total from investment operations	.07		.52		(.28	)	.68		.50		.59
Distributions to shareholders from:
Net investment income	(.10	)	(.19	)	(.16	)	(.23	)	(.27	)	(.30	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.10	)	(.19	)	(.34	)	(.49	)	(.68	)	(.54	)
Net asset value, end of period	$11.03		$11.06		$10.73		$11.35		$11.16		$11.34
Total Return(b)	.67	%(c)	4.89	%	(2.45	)%	6.28	%	4.74	%	5.41	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.62	%(c)	1.46	%	1.51	%	1.51	%	1.53	%	1.57	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.62	%(c)	1.46	%	1.51	%	1.51	%	1.53	%	1.57	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.72	%(c)	1.47	%	1.51	%	1.51	%	1.53	%	1.59	%
Net investment income	.45	%(c)	.68	%	.51	%	.74	%	1.53	%	2.02	%
Supplemental Data:
Net assets, end of period (000)	$82,740		$82,120		$94,953		$140,543		$113,329		$114,561
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 59

Financial Highlights (continued)

CORE FIXED INCOME FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.11		$10.78		$11.40		$11.20		$11.38		$11.34
Investment operations:
Net investment income(a)	.09		.15		.14		.17		.24		.31
Net realized and unrealized gain (loss)	.01		.45		(.33	)	.60		.34		.36
Total from investment operations	.10		.60		(.19	)	.77		.58		.67
Distributions to shareholders from:
Net investment income	(.14	)	(.27	)	(.25	)	(.31	)	(.35	)	(.39	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.14	)	(.27	)	(.43	)	(.57	)	(.76	)	(.63	)
Net asset value, end of period	$11.07		$11.11		$10.78		$11.40		$11.20		$11.38
Total Return(b)	.93	%(c)	5.63	%	(1.70	)%	7.14	%	5.50	%	6.15	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.27	%(c)	.73	%	.75	%	.76	%	.77	%	.76	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.27	%(c)	.73	%	.75	%	.76	%	.77	%	.76	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.37	%(c)	.75	%	.75	%	.76	%	.77	%	.77	%
Net investment income	.81	%(c)	1.40	%	1.26	%	1.48	%	2.18	%	2.76	%
Supplemental Data:
Net assets, end of period (000)	$375,568		$353,154		$297,303		$333,725		$247,773		$71,705
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

60 See Notes to Financial Statements.

Financial Highlights (continued)

CORE FIXED INCOME FUND

	Class I Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.11		$10.78		$11.40		$11.20		$11.39		$11.34
Investment operations:
Net investment income(a)	.10		.16		.15		.18		.24		.31
Net realized and unrealized gain (loss)	.02		.45		(.33	)	.60		.34		.38
Total from investment operations	.12		.61		(.18	)	.78		.58		.69
Distributions to shareholders from:
Net investment income	(.15	)	(.28	)	(.26	)	(.32	)	(.36	)	(.40	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.15	)	(.28	)	(.44	)	(.58	)	(.77	)	(.64	)
Net asset value, end of period	$11.08		$11.11		$10.78		$11.40		$11.20		$11.39
Total Return(b)	1.07	%(c)	5.73	%	(1.60	)%	7.25	%	5.52	%	6.37	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.22	%(c)	.64	%	.66	%	.66	%	.68	%	.66	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.22	%(c)	.64	%	.66	%	.66	%	.68	%	.66	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.32	%(c)	.65	%	.66	%	.66	%	.68	%	.67	%
Net investment income	.86	%(c)	1.51	%	1.36	%	1.59	%	2.18	%	2.77	%
Supplemental Data:
Net assets, end of period (000)	$411,982		$407,023		$421,016		$133,018		$119,703		$22,651
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 61

Financial Highlights (continued)

CORE FIXED INCOME FUND

	Class P Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.15		$10.82		$11.44		$11.25		$11.43		$11.38
Investment operations:
Net investment income(a)	.07		.12		.10		.13		.23		.28
Net realized and unrealized gain (loss)	.03		.44		(.33	)	.59		.32		.36
Total from investment operations	.10		.56		(.23	)	.72		.55		.64
Distributions to shareholders from:
Net investment income	(.13	)	(.23	)	(.21	)	(.27	)	(.32	)	(.35	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.13	)	(.23	)	(.39	)	(.53	)	(.73	)	(.59	)
Net asset value, end of period	$11.12		$11.15		$10.82		$11.44		$11.25		$11.43
Total Return(b)	.88	%(c)	5.26	%	(2.03	)%	6.67	%	5.14	%	5.88	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.43	%(c)	1.09	%	1.11	%	1.11	%	1.12	%	1.11	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.43	%(c)	1.09	%	1.11	%	1.11	%	1.12	%	1.11	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.52	%(c)	1.09	%	1.11	%	1.11	%	1.12	%	1.13	%
Net investment income	.67	%(c)	1.06	%	.92	%	1.15	%	2.06	%	2.49	%
Supplemental Data:
Net assets, end of period (000)	$12		$12		$47		$265		$276		$1,736
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

62 See Notes to Financial Statements.

Financial Highlights (continued)

CORE FIXED INCOME FUND

	Class R2 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.12		$10.78		$11.40		$11.21		$11.39		$11.34
Investment operations:
Net investment income(a)	.06		.10		.08		.11		.20		.25
Net realized and unrealized gain (loss)	.02		.46		(.33	)	.60		.33		.37
Total from investment operations	.08		.56		(.25	)	.71		.53		.62
Distributions to shareholders from:
Net investment income	(.12	)	(.22	)	(.19	)	(.26	)	(.30	)	(.33	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.12	)	(.22	)	(.37	)	(.52	)	(.71	)	(.57	)
Net asset value, end of period	$11.08		$11.12		$10.78		$11.40		$11.21		$11.39
Total Return(b)	.68	%(c)	5.19	%	(2.19	)%	6.52	%	4.99	%	5.74	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.52	%(c)	1.25	%	1.26	%	1.26	%	1.28	%	1.27	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.52	%(c)	1.25	%	1.26	%	1.26	%	1.28	%	1.27	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.62	%(c)	1.25	%	1.26	%	1.26	%	1.28	%	1.27	%
Net investment income	.56	%(c)	.90	%	.77	%	1.00	%	1.77	%	2.22	%
Supplemental Data:
Net assets, end of period (000)	$289		$478		$1,894		$1,792		$1,480		$1,199
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 63

Financial Highlights (concluded)

CORE FIXED INCOME FUND

	Class R3 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$11.11		$10.78		$11.40		$11.21		$11.39		$11.34
Investment operations:
Net investment income(a)	.07		.11		.10		.12		.21		.27
Net realized and unrealized gain (loss)	.02		.45		(.34	)	.60		.33		.36
Total from investment operations	.09		.56		(.24	)	.72		.54		.63
Distributions to shareholders from:
Net investment income	(.12	)	(.23	)	(.20	)	(.27	)	(.31	)	(.34	)
Net realized gain	–		–		(.18	)	(.26	)	(.41	)	(.24	)
Total distributions	(.12	)	(.23	)	(.38	)	(.53	)	(.72	)	(.58	)
Net asset value, end of period	$11.08		$11.11		$10.78		$11.40		$11.21		$11.39
Total Return(b)	.83	%(c)	5.21	%	(2.09	)%	6.63	%	5.10	%	5.84	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.46	%(c)	1.13	%	1.15	%	1.16	%	1.17	%	1.16	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.46	%(c)	1.13	%	1.15	%	1.16	%	1.17	%	1.16	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.56	%(c)	1.15	%	1.15	%	1.16	%	1.17	%	1.17	%
Net investment income	.62	%(c)	1.01	%	.87	%	1.09	%	1.87	%	2.40	%
Supplemental Data:
Net assets, end of period (000)	$28,241		$19,276		$20,990		$21,304		$15,290		$14,205
Portfolio turnover rate	265.53	%(c)	575.68	%	735.06	%	640.88	%	668.74	%	590.37	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

64 See Notes to Financial Statements.

Financial Highlights

TOTAL RETURN FUND

	Class A Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.66		$10.36		$11.00		$10.94		$11.26		$11.02
Investment operations:
Net investment income(a)	.10		.22		.22		.25		.32		.38
Net realized and unrealized gain (loss)	–		.40		(.31	)	.66		.22		.40
Total from investment operations	.10		.62		(.09	)	.91		.54		.78
Distributions to shareholders from:
Net investment income	(.15	)	(.32	)	(.32	)	(.38	)	(.41	)	(.44	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.21	)	(.32	)	(.55	)	(.85	)	(.86	)	(.54	)
Net asset value, end of period	$10.55		$10.66		$10.36		$11.00		$10.94		$11.26
Total Return(b)	.94	%(c)	6.02	%	(.81	)%	8.73	%	5.16	%	7.27	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.34	%(c)	.82	%	.85	%	.86	%	.83	%	.85	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.34	%(c)	.82	%	.85	%	.86	%	.83	%	.85	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.39	%(c)	.84	%	.85	%	.86	%	.83	%	.86	%
Net investment income	.98	%(c)	2.06	%	2.11	%	2.36	%	2.94	%	3.43	%
Supplemental Data:
Net assets, end of period (000)	$1,200,222		$928,445		$859,225		$957,408		$766,312		$718,778
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 65

Financial Highlights (continued)

TOTAL RETURN FUND

	Class B Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.65		$10.34		$10.98		$10.93		$11.25		$11.01
Investment operations:
Net investment income(a)	.06		.13		.14		.17		.23		.29
Net realized and unrealized gain (loss)	–		.41		(.31	)	.64		.22		.40
Total from investment operations	.06		.54		(.17	)	.81		.45		.69
Distributions to shareholders from:
Net investment income	(.11	)	(.23	)	(.24	)	(.29	)	(.32	)	(.35	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.17	)	(.23	)	(.47	)	(.76	)	(.77	)	(.45	)
Net asset value, end of period	$10.54		$10.65		$10.34		$10.98		$10.93		$11.25
Total Return(b)	.54	%(c)	5.29	%	(1.60	)%	7.76	%	4.28	%	6.43	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.73	%(c)	1.62	%	1.65	%	1.66	%	1.63	%	1.62	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.73	%(c)	1.62	%	1.65	%	1.66	%	1.63	%	1.62	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.79	%(c)	1.64	%	1.65	%	1.66	%	1.63	%	1.64	%
Net investment income	.59	%(c)	1.27	%	1.32	%	1.57	%	2.13	%	2.65	%
Supplemental Data:
Net assets, end of period (000)	$13,263		$15,638		$19,112		$27,590		$32,566		$44,153
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

66 See Notes to Financial Statements.

Financial Highlights (continued)

TOTAL RETURN FUND

	Class C Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.65		$10.35		$10.99		$10.93		$11.25		$11.01
Investment operations:
Net investment income(a)	.07		.15		.15		.19		.25		.31
Net realized and unrealized gain (loss)	–		.40		(.31	)	.65		.22		.39
Total from investment operations	.07		.55		(.16	)	.84		.47		.70
Distributions to shareholders from:
Net investment income	(.12	)	(.25	)	(.25	)	(.31	)	(.34	)	(.36	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.18	)	(.25	)	(.48	)	(.78	)	(.79	)	(.46	)
Net asset value, end of period	$10.54		$10.65		$10.35		$10.99		$10.93		$11.25
Total Return(b)	.62	%(c)	5.36	%	(1.46	)%	8.04	%	4.48	%	6.57	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.65	%(c)	1.44	%	1.50	%	1.50	%	1.48	%	1.52	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.65	%(c)	1.44	%	1.50	%	1.50	%	1.48	%	1.52	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.71	%(c)	1.47	%	1.50	%	1.50	%	1.48	%	1.53	%
Net investment income	.67	%(c)	1.43	%	1.46	%	1.71	%	2.30	%	2.76	%
Supplemental Data:
Net assets, end of period (000)	$201,678		$177,975		$171,890		$218,986		$178,761		$187,548
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 67

Financial Highlights (continued)

TOTAL RETURN FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.66		$10.36		$10.99		$10.94		$11.26		$11.02
Investment operations:
Net investment income(a)	.11		.23		.23		.27		.33		.39
Net realized and unrealized gain (loss)	(.01	)	.40		(.30	)	.64		.22		.40
Total from investment operations	.10		.63		(.07	)	.91		.55		.79
Distributions to shareholders from:
Net investment income	(.15	)	(.33	)	(.33	)	(.39	)	(.42	)	(.45	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.21	)	(.33	)	(.56	)	(.86	)	(.87	)	(.55	)
Net asset value, end of period	$10.55		$10.66		$10.36		$10.99		$10.94		$11.26
Total Return(b)	.99	%(c)	6.12	%	(.62	)%	8.74	%	5.26	%	7.41	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.29	%(c)	.71	%	.75	%	.76	%	.73	%	.73	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.29	%(c)	.71	%	.75	%	.76	%	.73	%	.73	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.34	%(c)	.74	%	.75	%	.76	%	.73	%	.74	%
Net investment income	1.03	%(c)	2.15	%	2.21	%	2.50	%	3.08	%	3.55	%
Supplemental Data:
Net assets, end of period (000)	$625,734		$519,591		$339,551		$579,330		$741,101		$1,115,781
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

68 See Notes to Financial Statements.

Financial Highlights (continued)

TOTAL RETURN FUND

	Class I Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.68		$10.38		$11.02		$10.96		$11.28		$11.04
Investment operations:
Net investment income(a)	.11		.24		.25		.28		.34		.41
Net realized and unrealized gain (loss)	–		.40		(.32	)	.65		.22		.39
Total from investment operations	.11		.64		(.07	)	.93		.56		.80
Distributions to shareholders from:
Net investment income	(.16	)	(.34	)	(.34	)	(.40	)	(.43	)	(.46	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.22	)	(.34	)	(.57	)	(.87	)	(.88	)	(.56	)
Net asset value, end of period	$10.57		$10.68		$10.38		$11.02		$10.96		$11.28
Total Return(b)	1.04	%(c)	6.22	%	(.60	)%	8.94	%	5.36	%	7.52	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.24	%(c)	.60	%	.65	%	.66	%	.63	%	.63	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.24	%(c)	.60	%	.65	%	.66	%	.63	%	.63	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.30	%(c)	.64	%	.65	%	.66	%	.63	%	.64	%
Net investment income	1.08	%(c)	2.25	%	2.32	%	2.54	%	3.16	%	3.65	%
Supplemental Data:
Net assets, end of period (000)	$296,665		$193,343		$81,974		$70,778		$36,987		$32,220
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 69

Financial Highlights (continued)

TOTAL RETURN FUND

	Class P Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.71		$10.40		$11.05		$10.99		$11.31		$11.07
Investment operations:
Net investment income(a)	.09		.19		.20		.23		.30		.36
Net realized and unrealized gain (loss)	–		.41		(.32	)	.65		.22		.39
Total from investment operations	.09		.60		(.12	)	.88		.52		.75
Distributions to shareholders from:
Net investment income	(.14	)	(.29	)	(.30	)	(.35	)	(.39	)	(.41	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.20	)	(.29	)	(.53	)	(.82	)	(.84	)	(.51	)
Net asset value, end of period	$10.60		$10.71		$10.40		$11.05		$10.99		$11.31
Total Return(b)	.82	%(c)	5.84	%	(1.13	)%	8.44	%	4.89	%	7.03	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.46	%(c)	1.07	%	1.10	%	1.11	%	1.08	%	1.07	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.46	%(c)	1.07	%	1.10	%	1.11	%	1.08	%	1.07	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.52	%(c)	1.09	%	1.10	%	1.11	%	1.08	%	1.09	%
Net investment income	.86	%(c)	1.81	%	1.86	%	2.17	%	2.74	%	3.28	%
Supplemental Data:
Net assets, end of period (000)	$2,998		$2,954		$3,077		$4,173		$7,987		$15,068
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

70 See Notes to Financial Statements.

Financial Highlights (continued)

TOTAL RETURN FUND

	Class R2 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.66		$10.36		$11.00		$10.94		$11.26		$11.02
Investment operations:
Net investment income(a)	.08		.18		.18		.21		.27		.34
Net realized and unrealized gain (loss)	–		.39		(.31	)	.66		.23		.40
Total from investment operations	.08		.57		(.13	)	.87		.50		.74
Distributions to shareholders from:
Net investment income	(.13	)	(.27	)	(.28	)	(.34	)	(.37	)	(.40	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.19	)	(.27	)	(.51	)	(.81	)	(.82	)	(.50	)
Net asset value, end of period	$10.55		$10.66		$10.36		$11.00		$10.94		$11.26
Total Return(b)	.74	%(c)	5.60	%	(1.20	)%	8.30	%	4.74	%	6.89	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.53	%(c)	1.21	%	1.25	%	1.26	%	1.23	%	1.23	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.53	%(c)	1.21	%	1.25	%	1.26	%	1.23	%	1.23	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.59	%(c)	1.24	%	1.25	%	1.26	%	1.23	%	1.24	%
Net investment income	.79	%(c)	1.66	%	1.72	%	1.98	%	2.53	%	3.06	%
Supplemental Data:
Net assets, end of period (000)	$6,552		$3,985		$3,136		$3,749		$4,567		$2,856
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 71

Financial Highlights (concluded)

TOTAL RETURN FUND

	Class R3 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$10.66		$10.35		$11.00		$10.94		$11.26		$11.02
Investment operations:
Net investment income(a)	.09		.19		.19		.22		.29		.35
Net realized and unrealized gain (loss)	(.01	)	.40		(.32	)	.66		.22		.40
Total from investment operations	.08		.59		(.13	)	.88		.51		.75
Distributions to shareholders from:
Net investment income	(.13	)	(.28	)	(.29	)	(.35	)	(.38	)	(.41	)
Net realized gain	(.06	)	–		(.23	)	(.47	)	(.45	)	(.10	)
Total distributions	(.19	)	(.28	)	(.52	)	(.82	)	(.83	)	(.51	)
Net asset value, end of period	$10.55		$10.66		$10.35		$11.00		$10.94		$11.26
Total Return(b)	.79	%(c)	5.81	%	(1.20	)%	8.42	%	4.86	%	6.99	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.48	%(c)	1.11	%	1.15	%	1.16	%	1.12	%	1.13	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.48	%(c)	1.11	%	1.15	%	1.16	%	1.12	%	1.13	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.54	%(c)	1.14	%	1.15	%	1.16	%	1.12	%	1.14	%
Net investment income	.84	%(c)	1.77	%	1.82	%	2.06	%	2.64	%	3.10	%
Supplemental Data:
Net assets, end of period (000)	$115,811		$67,975		$54,287		$51,258		$37,931		$25,423
Portfolio turnover rate	224.75	%(c)	466.14	%	600.61	%	575.52	%	607.17	%	493.81	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

72 See Notes to Financial Statements.

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on August 16, 1993. The Trust currently consists of twelve funds. This report covers the following two funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes during the six months ended May 31, 2015: Lord Abbett Core Fixed Income Fund (“Core Fixed Income Fund”) and Lord Abbett Total Return Fund (“Total Return Fund”).

The investment objective of each Fund is to seek income and capital appreciation to produce a high total return. Each Fund has eleven classes of shares of which the following eight were active for the period covered in this report: Class A, B, C, F, I, P, R2 and R3, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. The Funds no longer issue Class B shares for purchase. The Funds’ Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Funds’ prospectus. Effective June 30, 2015, each of the Funds issued and commenced operations of three share classes: Class R4, Class R5 and Class R6.

The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

2. SIGNIFICANT ACCOUNTING POLICIES  

(a)

Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. Each Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price

73

Notes to Financial Statements (unaudited)(continued)

	is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available.
	Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee.
	Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.
(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
(c)	Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
(d)	Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2011 through November 30, 2014. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets.

74

Notes to Financial Statements (unaudited)(continued)

	Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan.
(f)	Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on futures contracts and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain on investments, futures contracts and foreign currency related transactions on each Fund’s Statement of Operations. Each Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.
	The Funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
(g)	Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain is included in Net change in unrealized appreciation/depreciation on investments, futures contracts and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The gain arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain on investments, futures contracts and foreign currency related transactions on each Fund’s Statement of Operations.
(h)	Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.
(i)	Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return

75

Notes to Financial Statements (unaudited)(continued)

	swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty.
(j)	When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–Each Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at each Fund’s custodian in order to pay for the commitment. At the time each Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. Each Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date.
(k)	Mortgage Dollar Rolls–Each Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, each Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold.
(l)	Commercial Paper–Each Fund may purchase commercial paper. Commercial paper consists of unsecured promissory notes issued by corporations to finance short-term credit needs. Commercial paper is issued in bearer form with maturities generally not exceeding nine months. Commercial paper obligations may include variable amount master demand notes.
(m)	Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities.
(n)	Floating Rate Loans–Each Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and

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Notes to Financial Statements (unaudited)(continued)

	collateralized in nature. A Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).
	The loans in which each Fund invests may be subject to some restrictions on resale. For example, each Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. Each Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, each Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, each Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.
	Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of May 31, 2015, the Funds had no unfunded loan commitments.
(o)	Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

•	Level 1 –	unadjusted quoted prices in active markets for identical investments;
•	Level 2 –	other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and
•	Level 3 –	significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

A summary of inputs used in valuing each Fund’s investments and other financial instruments as of May 31, 2015 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments.

77

Notes to Financial Statements (unaudited)(continued)

Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.

The management fee is based on each Fund’s average daily net assets at the following annual rates:

First $1 billion	.45%
Next $1 billion	.40%
Over $2 billion	.35%

During the six months ended May 31, 2015, for Core Fixed Income Fund and Total Return Fund, the effective management fee, net of waivers, was at an annualized rate of 0.24% and 0.30%, respectively.

In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets.

During the six month period ended May 31, 2015 and continuing through March 31, 2016, Lord Abbett has contractually agreed to waive an annual rate of 0.20% of Core Fixed Income Fund’s management fee. This agreement may be terminated only upon the approval of the Fund’s Board.

For the period December 1, 2014 through March 31, 2015, Lord Abbett contractually agreed to reimburse Total Return Fund’s expenses, excluding management fee and any applicable 12b-1 fee, to the extent necessary so that the total net annual operating expenses for each class did not exceed an annual rate of 0.05%. Effective April 1, 2015 and continuing through March 31, 2016, the Fund agreed to waive and reimburse expenses to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to an annual rate of 0.48%. This agreement may be terminated only upon the approval of the Fund’s Board.

The Funds, along with certain other funds managed by Lord Abbett (collectively, the “Underlying Funds”), have entered into a Servicing Arrangement with certain “Fund of Funds” managed by Lord Abbett, pursuant to which each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of each Fund of Funds in proportion to the average daily value of the Underlying Fund shares owned by each Fund of Funds. Amounts paid pursuant to the Servicing Arrangement, if applicable, are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliates on each Fund’s Statement of Assets and Liabilities.

As of May 31, 2015, the percentages of Core Fixed Income Fund’s outstanding shares owned by Lord Abbett Multi-Asset Balanced Opportunity Fund, Lord Abbett Multi-Asset Growth Fund and Lord Abbett Multi-Asset Income Fund were 5.85%, 2.65% and 6.18%, respectively.

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Notes to Financial Statements (unaudited)(continued)

12b-1 Distribution Plan

Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:

Fees*	Class A	Class B	Class C(1)	Class F	Class P	Class R2	Class R3
Service	.15%	.25%	.25%	–	.25%	.25%	.25%
Distribution	.05%	.75%	.75%	.10%	.20%	.35%	.25%

*	The Funds may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations.
(1)	The 12b-1 fees each Fund pays on Class C shares is a blended rate based on 1.00% of each Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.25% service, .55% distribution) of each Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of a Fund will bear 12b-1 fees at the same rate.

Class I shares do not have a distribution plan.

Commissions

Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended May 31, 2015:

	Distributor Commissions	Dealers’ Concessions
Core Fixed Income Fund	$40,516	$237,446
Total Return Fund	87,359	574,537

Distributor received the following amount of CDSCs for the six months ended May 31, 2015:

	Class A	Class C
Core Fixed Income Fund	$2,765	$4,712
Total Return Fund	–	22,572

A Trustee and certain of the Trust’s officers have an interest in Lord Abbett.

4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS  

Dividends from net investment income, if any, are declared daily and paid monthly. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.

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Notes to Financial Statements (unaudited)(continued)

The tax character of distributions paid during the six months ended May 31, 2015 and fiscal year ended November 30, 2014 was as follows:

		Core Fixed Income Fund			Total Return Fund
	Six Months Ended 5/31/2015 (unaudited)		Year Ended 11/30/2014		Six Months Ended 5/31/2015 (unaudited)		Year Ended 11/30/2014
Distributions paid from:
Ordinary income		$16,268,967		$31,148,438		$37,648,298		$46,569,315
Net long-term capital gains		–		–		4,697,082		–
Total distributions paid		$16,268,967		$31,148,438		$42,345,380		$46,569,315

As of November 30, 2014, Core Fixed Income Fund had a capital loss carryforward of $1,111,089 with no expiration.

In accordance with the Regulated Investment Company Modernization Act of 2010, Core Fixed Income Fund will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term.

As of May 31, 2015, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Core Fixed Income Fund			Total Return Fund
Tax cost		$1,469,165,960			$2,654,894,289
Gross unrealized gain		10,069,853			21,735,461
Gross unrealized loss		(3,461,520	)		(17,294,470	)
Net unrealized security gain		$6,608,333			$4,440,991

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of premium amortization and wash sales.

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2015 were as follows:

	U.S. Government Purchases*		Non-U.S. Government Purchases		U.S. Government Sales*		Non-U.S. Government Sales
Core Fixed Income Fund		$3,559,388,046		$279,419,121		$3,630,215,488		$191,340,939
Total Return Fund		5,148,630,670		776,736,744		4,961,612,142		362,121,839

* Includes U.S. Government sponsored enterprises securities.

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

Total Return Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2015 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s

80

Notes to Financial Statements (unaudited)(continued)

returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.

Each Fund entered into U.S. Treasury futures contracts for the six months ended May 31, 2015 (as described in note 2(h)) to hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

Total Return Fund entered into a total return swap for the six months ended May 31, 2015 (as described in note 2(i)) to obtain exposure to an issuer (the Reference Entity). The Fund’s use of total return swaps involves the risk that Lord Abbett will not accurately predict expectations of market value of the Reference Entity, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the notional value of the contract.

As of May 31, 2015, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:

	Core Fixed Income Fund		Total Return Fund
Asset Derivatives	Interest Rate Contracts		Interest Rate Contracts		Foreign Currency Contracts
Forward Foreign Currency Exchange Contracts(1)		–			$	93,763
Futures Contracts(2)	$	152,749	$	471,768		–
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)		–		–	$	28,374
Futures Contracts(2)	$	2,769	$	244,548		–

(1)	Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.
(2)	Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
(3)	Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.

81

Notes to Financial Statements (unaudited)(continued)

Transactions in derivative instruments for the six months ended May 30, 2015, were as follows:

	Core Fixed Income Fund				Total Return Fund
	Interest Rate Contracts		Interest Rate Contracts		Foreign Currency Contracts			Credit Contracts
Net Realized Gain (Loss)(1)
Forward Foreign Currency Exchange Contracts		–		–	$	553,391			–
Futures Contracts		$381,711	$	1,197,262		–			–
Total Returns Swaps		–		–		–			–
Net Change in Unrealized Appreciation/Depreciation(2)
Forward Foreign Currency Exchange Contracts		–		–	$	(1,494	)		–
Futures Contracts		$149,980	$	227,220		–			–
Total Returns Swaps		–		–		–			–
Average Number of Contracts/Notional Amounts*
Forward Foreign Currency Exchange Contracts(3)		–		–	$	5,563,987			–
Futures Contracts(4)		834		2,585
Total Returns Swaps(3)		–		–		–			$117,277

*	Calculated based on the number of contracts or notional amounts for the period ended May 31, 2015.
(1)	Statements of Operations location: Net realized gain on futures contracts and foreign currency related transactions.
(2)	Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts and translation of assets and liabilities denominated in foreign currencies.
(3)	Amount represents notional amounts in U.S. dollars.
(4)	Amount represents number of contracts.

7. DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES  

The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”), specifying which transactions are subject to disclosures about offsetting.

The following tables illustrate gross and net information about recognized assets eligible for offset in the statement of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does

82

Notes to Financial Statements (unaudited)(continued)

not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:

Core Fixed Income Fund

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Repurchase Agreement	$	57,197,874	$	–	$	57,197,874
Total	$	57,197,874	$	–	$	57,197,874

	Net Amounts of Assets Presented in		Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received(a)		Securities Collateral Received(a)			Net Amount(b)
Fixed Income Clearing Corp.	$	57,197,874	$	–	$	–	$	(57,197,874	)	$	–
Total	$	57,197,874	$	–	$	–	$	(57,197,874	)	$	–

Total Return Fund

Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	93,763	$	–	$	93,763
Repurchase Agreement		68,628,965		–		68,628,965
Total	$	68,722,728	$	–	$	68,722,728

	Net Amounts of Assets Presented in		Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received(a)			Securities Collateral Received(a)			Net Amount(b)
Bank of America	$	31,195	$	(28,374	)	$	–		$	–		$	2,821
Fixed Income Clearing Corp.		68,628,965		–			–			(68,628,965	)		–
J.P. Morgan Chase		32,300		–			–			–			32,300
Morgan Stanley		30,268		–			(30,000	)		–			268
Total	$	68,722,728	$	(28,374	)	$	(30,000	)	$	(68,628,965	)	$	35,389

Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	28,374	$	–	$	28,374
Total	$	28,374	$	–	$	28,374

83

Notes to Financial Statements (unaudited)(continued)

	Net Amounts of Liabilities Presented in		Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged(a)		Securities Collateral Pledged(a)		Net Amount(c)
Bank of America	$	28,374	$	(28,374	)	$	–	$	–	$	–
Total	$	28,374	$	(28,374	)	$	–	$	–	$	–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty.
(b)	Net amount represents the amount owed to the Fund by each counterparty as of May 31, 2015.
(c)	Net amount represents the amount owed by the Fund to each counterparty as of May 31, 2015.

8. TRUSTEES’ REMUNERATION  

The Trust’s officers and a Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

9. EXPENSE REDUCTIONS  

The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.

10. LINE OF CREDIT  

During the six months ended May 31, 2015, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participated in a $500 million unsecured revolving credit facility (the “Facility”) with State Street Bank and Trust Company (“SSB”). The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million based on past borrowings and likelihood of future borrowings. Each Participating Fund bears its ratable share of the $525,000 annual Facility fee based on the maximum amount the Fund can borrow under the Facility. This amount is included for each Fund in Other expenses in the Statements of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.

During the six months ended May 31, 2015, the Funds did not utilize the Facility.

11. CUSTODIAN AND ACCOUNTING AGENT  

SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.

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Notes to Financial Statements (unaudited)(continued)

12. INVESTMENT RISKS  

Each Fund is subject to the general risks and considerations associated with investing in fixed income securities. The value of an investment will change as interest rates fluctuate in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when rates fall, such prices tend to rise.

Each Fund may invest a significant portion of its assets in asset backed securities and mortgage related securities, including those of such government sponsored enterprises as Federal Home Loan Mortgage Corporation and Federal National Mortgage Association. In addition, the Funds may invest in non-agency asset backed and mortgage related securities, which are issued by private institutions, not by government-sponsored enterprises. Such securities may be particularly sensitive to changes in economic conditions, including delinquencies and/or defaults, and changes in prevailing interest rates. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive a Fund of income payments above current market rates. The prepayment rate also will affect the price and volatility of these securities. In addition, securities of government sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprises involved, not by the U.S. Government.

The lower-rated or high-yield bonds (also known as “junk” bonds) in which Total Return Fund may invest are subject to greater price fluctuations, as well as additional risks.

Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer.

Each Fund’s investment exposure to foreign companies presents increased market, liquidity, currency, political, information and other risks. The cost to a Fund’s use of forward foreign currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing.

Each Fund’s exposure to inflation-linked investments, such as Treasury Inflation Protected Securities, may be vulnerable to changes in expectations of inflation or interest rates.

Each Fund may invest in floating rate or adjustable rate senior loans, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities. The senior loans in which the Funds invest may consist primarily of senior loans that are rated below investment grade or, if unrated, deemed by Lord Abbett to be equivalent to below investment grade securities. Below investment grade senior loans, as in the case of high-yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market.

85

Notes to Financial Statements (unaudited)(continued)

These factors can affect each Fund’s performance.

13. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of beneficial interest were as follows:

Core Fixed Income Fund	Six Months Ended May 31, 2015 (unaudited)						Year Ended November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		6,829,715		$	76,311,485			9,437,653		$	103,566,506
Converted from Class B*		40,487			156,656			74,309			814,193
Reinvestment of distributions		428,595			4,780,183			745,741			8,177,773
Shares reacquired		(4,517,996	)		(50,316,175	)		(11,600,950	)		(126,587,081	)
Increase (decrease)		2,780,801		$	30,932,149			(1,343,247	)	$	(14,028,609	)
Class B Shares
Shares sold		10,921		$	121,503			48,791		$	535,290
Reinvestment of distributions		4,752			52,854			10,326			112,834
Shares reacquired		(47,159	)		(819,108	)		(142,992	)		(1,556,879	)
Converted to Class A*		(40,614	)		(156,656	)		(74,534	)		(814,193	)
Decrease		(72,100	)	$	(801,407	)		(158,409	)	$	(1,722,948	)
Class C Shares
Shares sold		1,406,332		$	15,565,494			1,298,324		$	14,209,679
Reinvestment of distributions		61,216			679,797			116,053			1,266,432
Shares reacquired		(1,387,336	)		(15,412,033	)		(2,839,548	)		(30,851,567	)
Increase (decrease)		80,212		$	833,258			(1,425,171	)	$	(15,375,456	)
Class F Shares
Shares sold		5,967,756		$	66,431,833			9,971,680		$	109,401,363
Reinvestment of distributions		382,268			4,262,914			654,397			7,177,990
Shares reacquired		(4,223,842	)		(47,057,678	)		(6,425,875	)		(70,257,601	)
Increase		2,126,182		$	23,637,069			4,200,202		$	46,321,752
Class I Shares
Shares sold		6,317,255		$	70,017,313			17,830,576		$	194,779,543
Reinvestment of distributions		455,042			5,074,821			1,082,466			11,873,763
Shares reacquired		(6,206,687	)		(69,145,075	)		(21,344,283	)		(235,395,796	)
Increase (decrease)		565,610		$	5,947,059			(2,431,241	)	$	(28,742,490	)
Class P Shares
Shares sold		–		$	5			248		$	2,702
Reinvestment of distributions		12			133			84			918
Shares reacquired		(4	)		(46	)		(3,613	)		(40,028	)
Increase (decrease)		8		$	92			(3,281	)	$	(36,408	)
Class R2 Shares
Shares sold		3,724		$	41,568			25,977		$	281,655
Reinvestment of distributions		36			397			61			670
Shares reacquired		(20,711	)		(229,655	)		(158,761	)		(1,732,554	)
Decrease		(16,951	)	$	(187,690	)		(132,723	)	$	(1,450,229	)

86

Notes to Financial Statements (unaudited)(continued)

Core Fixed Income Fund	Six Months Ended May 31, 2015 (unaudited)						Year Ended November 30, 2014
Class R3 Shares	Shares			Amount			Shares			Amount
Shares sold		1,210,243		$	13,483,536			523,744		$	5,728,762
Reinvestment of distributions		25,215			281,259			36,347			398,589
Shares reacquired		(420,560	)		(4,666,682	)		(772,599	)		(8,424,994	)
Increase (decrease)		814,898		$	9,098,113			(212,508	)	$	(2,297,643	)
Total Return Fund	Six Months Ended May 31, 2015 (unaudited)						Year Ended November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		34,768,665		$	369,398,160			27,486,787		$	290,644,484
Converted from Class B*		123,483			430,554			188,609			1,987,300
Reinvestment of distributions		1,721,139			18,222,552			2,206,684			23,274,766
Shares reacquired		(9,964,937	)		(105,607,760	)		(25,768,622	)		(271,038,744	)
Increase		26,648,350		$	282,443,506			4,113,458		$	44,867,806
Class B Shares
Shares sold		30,198		$	319,409			89,171		$	941,850
Reinvestment of distributions		20,576			217,478			32,414			341,238
Shares reacquired		(137,336	)		(2,334,941	)		(311,823	)		(3,267,026	)
Converted to Class A*		(123,600	)		(430,554	)		(188,882	)		(1,987,300	)
Decrease		(210,162	)	$	(2,228,608	)		(379,120	)	$	(3,971,238	)
Class C Shares
Shares sold		4,102,577		$	43,449,704			4,469,948		$	47,335,914
Reinvestment of distributions		220,939			2,336,065			266,009			2,802,251
Shares reacquired		(1,903,134	)		(20,158,001	)		(4,641,031	)		(48,610,390	)
Increase		2,420,382		$	25,627,768			94,926		$	1,527,775
Class F Shares
Shares sold		15,901,343		$	168,605,004			23,618,491		$	250,357,571
Reinvestment of distributions		934,571			9,893,928			994,965			10,502,289
Shares reacquired		(6,274,771	)		(66,459,722	)		(8,666,235	)		(91,105,144	)
Increase		10,561,143		$	112,039,210			15,947,221		$	169,754,716
Class I Shares
Shares sold		15,100,188		$	160,295,004			14,004,871		$	148,629,865
Reinvestment of distributions		419,439			4,450,639			313,335			3,316,938
Shares reacquired		(5,562,717	)		(59,106,734	)		(4,118,545	)		(43,604,679	)
Increase		9,956,910		$	105,638,909			10,199,661		$	108,342,124
Class P Shares
Shares sold		5,192		$	55,299			122,848		$	1,299,719
Reinvestment of distributions		5,149			54,762			8,040			85,191
Shares reacquired		(3,386	)		(36,107	)		(150,887	)		(1,603,640	)
Increase (decrease)		6,955		$	73,954			(19,999	)	$	(218,730	)

87

Notes to Financial Statements (unaudited)(concluded)

Total Return Fund	Six Months Ended May 31, 2015 (unaudited)						Year Ended November 30, 2014
Class R2 Shares	Shares			Amount			Shares			Amount
Shares sold		292,807		$	3,109,144			237,471		$	2,505,025
Reinvestment of distributions		4,926			52,147			4,316			45,531
Shares reacquired		(50,639	)		(535,663	)		(170,850	)		(1,803,925	)
Increase		247,094		$	2,625,628			70,937		$	746,631
Class R3 Shares
Shares sold		5,437,776		$	57,619,024			2,596,302		$	27,391,068
Reinvestment of distributions		166,967			1,767,455			149,508			1,577,143
Shares reacquired		(1,005,616	)		(10,652,477	)		(1,611,973	)		(16,946,858	)
Increase		4,599,127		$	48,734,002			1,133,837		$	12,021,353

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

14. RECENT ACCOUNTING PRONOUNCEMENT  

In June 2014, FASB issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2015, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.

88

Supplemental Proxy Information (unaudited)

A joint special meeting of shareholders of each Fund and other funds of the Trust was held on December 4, 2014. The joint special meeting was held for the purpose of electing members of the Board. Shareholders elected the following nine (9) Trustees at the joint special meeting:

• E. Thayer Bigelow

• Robert B. Calhoun, Jr.

• Eric C. Fast

• Daria L. Foster

• Evelyn E. Guernsey

• Julie A. Hill

• Franklin W. Hobbs

• James M. McTaggart

• James L.L. Tullis

The results of the proxy solicitation on the preceding matter were as follows:

Lord Abbett Investment Trust

Nominee	Votes For	Votes Withheld
E. Thayer Bigelow	9,741,410,387.289	139,174,112.638
Robert B. Calhoun, Jr.	9,744,649,940.182	135,934,559.745
Eric C. Fast	9,747,037,109.749	133,547,390.178
Daria L. Foster	9,751,786,030.813	128,798,469.114
Evelyn E. Guernsey	9,752,515,061.052	128,069,438.875
Julie A. Hill	9,750,467,661.690	130,116,838.237
Franklin W. Hobbs	9,749,208,770.394	131,375,729.533
James M. McTaggart	9,749,740,533.092	130,843,966.835
James L.L. Tullis	9,748,690,350.111	131,894,149.816

89

Approval of Advisory Contract

The Board of Trustees of the Company, including all of the Trustees who are not interested persons of the Company or of Lord Abbett, annually considers whether to approve the continuation of the existing management agreement between each Fund and Lord Abbett. In connection with its most recent approval, the Board reviewed materials relating specifically to the management agreement, as well as numerous materials received throughout the course of the year, including information about each Fund’s investment performance compared to the performance of its benchmark. Before making its decision as to each Fund, the Board had the opportunity to ask questions and request further information, taking into account its familiarity with Lord Abbett gained through its meetings and discussions. These meetings and discussions included the examination of the portfolio management teams conducted by members of the Contract Committee, the deliberations of the Contract Committee, and discussions between the Contract Committee and Lord Abbett’s management.

The materials received by the Board as to each Fund included, but were not limited to: (1) information provided by Morningstar Associates, LLC (“Morningstar”) regarding the investment performance of the Fund compared to the investment performance of a group of funds in the same Morningstar investment category (the “performance peer group”) and the investment performance of one or more appropriate benchmarks; (2) information provided by Morningstar regarding the expense ratios, contractual and effective management fee rates, and other expense components for the Fund and one or more groups of funds in the same Morningstar category, with the same share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the projected expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability of the management agreement to Lord Abbett; (8) information provided by Lord Abbett regarding the investment management fees Lord Abbett receives from its other advisory clients maintaining accounts with a similar investment strategy as the Fund; (9) information regarding the distribution arrangements of the Fund; and (10) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.

Investment Management Services Generally. The Board considered the investment management services provided by Lord Abbett to each Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to the Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other.

Investment Performance. The Board reviewed each Fund’s investment performance in relation to that of the performance peer group, in each case as of various periods ended August 31, 2014. As to Core Fixed Income Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-year, three-year, and ten-year periods and below the median for the five-year period. As to Total Return Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for each of the periods.

90

Approval of Advisory Contract (continued)

Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to each Fund, in light of its investment objective and discipline. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s investment management staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining investment management personnel.

Nature and Quality of Other Services. The Board considered the nature, quality, costs, and extent of compliance, administrative, and other services performed by Lord Abbett and Distributor and the nature and extent of Lord Abbett’s supervision of third party service providers, including each Fund’s transfer agent and custodian.

Expenses. The Board considered the expense levels of each Fund and the expense levels of one or more corresponding expense peer groups. It also considered the projected expense levels of each Fund and how those levels would relate to those of the expense peer group and the amount and nature of the fees paid by shareholders. As to Core Fixed Income Fund, the Board observed that the overall expense level was slightly below the median of the expense peer group. As to Total Return Fund, the Board observed that the overall expense level was the same as the median of the expense peer group.

Profitability. As to each Fund, the Board considered the level of Lord Abbett’s profits in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. The Board concluded that the allocation methodology had a reasonable basis and was appropriate. It considered any profits realized by Lord Abbett in connection with the operation of each Fund, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund, and whether the amount of profit was fair for the management of the Fund. The Board also considered the profits realized from other business segments of Lord Abbett, which may benefit from or be related to the Fund’s business. The Board considered Lord Abbett’s profit margins in comparison with available industry data, both accounting for and ignoring marketing and distribution expenses, and how those profit margins could affect Lord Abbett’s ability to recruit and retain investment personnel. The Board recognized that Lord Abbett’s profitability was a factor in enabling it to attract and retain qualified investment management personnel to provide services to the Fund. The Board concluded that Lord Abbett’s profitability as to each Fund was not excessive.

Economies of Scale. As to each Fund, the Board considered whether there had been any economies of scale in managing the Fund, whether the Fund had appropriately benefited from any such economies of scale, and whether there was potential for realization of any further economies of scale. The Board concluded that each existing management fee schedule, with its breakpoint or breakpoints in the level of the management fee, adequately addressed any economies of scale in managing the applicable Fund.

Other Benefits to Lord Abbett. As to each Fund, the Board considered the character and amount of fees paid by the Fund and the Fund’s shareholders to Lord Abbett and Distributor for services other than investment advisory services. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with the Fund. The Board observed that Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some

91

Approval of Advisory Contract (concluded)

classes of shares. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also noted that Lord Abbett, as disclosed in the prospectuses of the Funds, has entered into revenue sharing arrangements with certain entities that distribute shares of the Funds.

Alternative Arrangements. As to each Fund, the Board considered whether, instead of approving continuation of the management agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the existing management agreements was in the best interests of each Fund and its shareholders and voted unanimously to approve the continuation of the management agreements. In considering whether to approve the continuation of the management agreement, the Board did not identify any single factor as paramount or controlling. This summary does not discuss in detail all matters considered.

92

Householding

The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.

Proxy Voting Policies, Procedures and Records

A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).

93

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This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.	Lord Abbett Investment Trust
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Core Fixed Income Fund Lord Abbett Total Return Fund	LACCBE-3 (07/15)

2015 LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Convertible Fund

Floating Rate Fund

High Yield Fund

Income Fund

Inflation Focused Fund

Short Duration Income Fund

For the six-month period ended May 31, 2015

Table of Contents

1	A Letter from Lord Abbett
2	Information About Your Fund’s Expenses and Holdings Presented by Sector
	Schedules of Investments:
9	Convertible Fund
17	Floating Rate Fund
38	High Yield Fund
70	Income Fund
100	Inflation Focused Fund
144	Short Duration Income Fund
196	Statements of Assets and Liabilities
200	Statements of Operations
202	Statements of Changes in Net Assets
208	Financial Highlights
250	Notes to Financial Statements
281	Supplemental Information to Shareholders

Lord Abbett Investment Trust
Lord Abbett Convertible Fund, Lord Abbett Floating Rate Fund, Lord Abbett High Yield Fund, Lord Abbett Income Fund, Lord Abbett Inflation Focused Fund, and Lord Abbett Short Duration Income Fund
Semiannual Report

For the six-month period ended May 31, 2015

Daria L. Foster, Trustee, President and Chief Executive Officer of the Lord Abbett Funds, and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.

Dear Shareholders: We are pleased to provide you with this semiannual report for the Funds for the six-month period ended May 31, 2015. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website.

Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.

Best regards,

Daria L. Foster
Trustee, President and Chief Executive Officer

1

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2014 through May 31, 2015).

Actual Expenses

For each class of each Fund, the first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 12/1/14—5/31/15” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

For each class of each Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

2

Convertible Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†
			12/1/14 –
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,043.90	$5.40
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.65	$5.34
Class B
Actual	$1,000.00	$1,039.80	$9.46
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,015.66	$9.35
Class C
Actual	$1,000.00	$1,040.10	$8.75
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,016.36	$8.65
Class F
Actual	$1,000.00	$1,043.80	$4.89
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.14	$4.84
Class I
Actual	$1,000.00	$1,044.80	$4.38
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.64	$4.33
Class P
Actual	$1,000.00	$1,043.20	$6.21
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.85	$6.14
Class R2
Actual	$1,000.00	$1,041.30	$7.43
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.65	$7.34
Class R3
Actual	$1,000.00	$1,041.90	$6.92
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.15	$6.84

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.06% for Class A, 1.86% for Class B, 1.72% for Class C, 0.96% for Class F, 0.86% for Class I, 1.22% for Class P, 1.46% for Class R2 and 1.36% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

May 31, 2015

Sector*	%**
Consumer Discretionary	13.16	%
Consumer Staples	1.72	%
Energy	7.57	%
Financials	11.49	%
Healthcare	19.55	%
Industrials	1.67	%
Materials	3.15	%

Sector*	%**
Media	2.07	%
Technology	32.43	%
Telecommunications	0.86	%
Transportation	2.60	%
Utilities	1.45	%
Repurchase Agreement	2.28	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

3

Floating Rate Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†
			12/1/14 –
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,019.60	$4.03
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.94	$4.03
Class C
Actual	$1,000.00	$1,015.30	$7.29
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.70	$7.29
Class F
Actual	$1,000.00	$1,020.10	$3.53
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.44	$3.53
Class I
Actual	$1,000.00	$1,019.50	$3.02
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.94	$3.02
Class R2
Actual	$1,000.00	$1,017.60	$6.04
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.95	$6.04
Class R3
Actual	$1,000.00	$1,017.00	$5.53
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.45	$5.54

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.80% for Class A, 1.45% for Class C, 0.70% for Class F, 0.60% for Class I, 1.20% for Class R2 and 1.10% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

May 31, 2015

Sector*	%**
Aerospace	2.90	%
Chemicals	3.13	%
Consumer Durables	0.24	%
Consumer Non-Durables	1.38	%
Energy	4.52	%
Financial	3.39	%
Food & Drug	3.15	%
Food/Tobacco	3.35	%
Forest Products	2.84	%
Gaming/Leisure	7.13	%
Healthcare	11.34	%

Sector*	%**
Housing	2.23	%
Information Technology	7.30	%
Manufacturing	3.15	%
Media/Telecommunications	10.98	%
Metals/Minerals	1.70	%
Retail	6.42	%
Service	11.02	%
Transportation	2.32	%
Utility	4.98	%
Repurchase Agreement	6.53	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

4

High Yield Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†
			12/1/14 –
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,035.70	$4.62
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.39	$4.58
Class B
Actual	$1,000.00	$1,033.00	$8.67
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,016.40	$8.60
Class C
Actual	$1,000.00	$1,032.40	$7.90
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.15	$7.85
Class F
Actual	$1,000.00	$1,036.20	$4.11
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.89	$4.08
Class I
Actual	$1,000.00	$1,036.70	$3.61
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.39	$3.58
Class P
Actual	$1,000.00	$1,035.70	$5.89
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.15	$5.84
Class R2
Actual	$1,000.00	$1,035.00	$6.65
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.40	$6.59
Class R3
Actual	$1,000.00	$1,034.20	$6.14
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.90	$6.09

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.91% for Class A, 1.71% for Class B, 1.56% for Class C, 0.81% for Class F, 0.71% for Class I, 1.16% for Class P, 1.31% for Class R2 and 1.21% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

May 31, 2015

Sector*	%**
Asset Backed	0.12	%
Automotive	2.28	%
Banking	2.55	%
Basic Industry	10.71	%
Capital Goods	4.46	%
Consumer Goods	5.42	%
Energy	13.27	%
Financial Services	4.10	%
Foreign Sovereign	0.31	%
Healthcare	9.15	%
Insurance	0.91	%

Sector*	%**
Leisure	6.74	%
Media	9.58	%
Real Estate	0.88	%
Retail	8.17	%
Services	2.67	%
Technology & Electronics	6.47	%
Telecommunications	5.70	%
Transportation	2.25	%
Utility	2.72	%
Repurchase Agreement	1.54	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

5

Income Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†
			12/1/14 –
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,006.50	$3.90
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.04	$3.93
Class B
Actual	$1,000.00	$1,002.50	$7.89
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.05	$7.95
Class C
Actual	$1,000.00	$1,003.40	$7.04
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,017.90	$7.09
Class F
Actual	$1,000.00	$1,006.90	$3.40
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.54	$3.43
Class I
Actual	$1,000.00	$1,007.40	$2.90
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.04	$2.92
Class R2
Actual	$1,000.00	$1,004.70	$5.90
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.05	$5.94
Class R3
Actual	$1,000.00	$1,005.00	$5.40
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.55	$5.44

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.78% for Class A, 1.58% for Class B, 1.41% for Class C, 0.68% for Class F, 0.58% for Class I, 1.18% for Class R2 and 1.08% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

May 31, 2015

Sector*	%**
Auto	1.65	%
Basic Industry	1.53	%
Capital Goods	0.17	%
Consumer Cyclical	7.21	%
Consumer Discretionary	2.06	%
Consumer Non-Cyclical	0.12	%
Consumer Services	2.82	%
Consumer Staples	2.51	%
Energy	8.99	%
Financial Services	34.65	%
Foreign Government	0.24	%

Sector*	%**
Health Care	6.82	%
Integrated Oils	3.59	%
Materials & Processing	3.57	%
Municipal	2.09	%
Producer Durables	1.37	%
Technology	3.75	%
Telecommunications	6.05	%
Transportation	1.15	%
U.S. Government	3.15	%
Utility	3.05	%
Repurchase Agreement	3.46	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

6

Inflation Focused Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†
			12/1/14 –
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$   981.90	$3.71
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.19	$3.78
Class C
Actual	$1,000.00	$   978.20	$6.81
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.05	$6.94
Class F
Actual	$1,000.00	$   982.40	$3.21
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.69	$3.28
Class I
Actual	$1,000.00	$   982.90	$2.72
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.19	$2.77
Class R2
Actual	$1,000.00	$   980.00	$5.68
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.20	$5.79
Class R3
Actual	$1,000.00	$   979.80	$5.18
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.70	$5.29

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.75% for Class A, 1.38% for Class C, 0.65% for Class F, 0.55% for Class I, 1.15% for Class R2 and 1.05% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

May 31, 2015

Sector*	%**
Auto	1.33	%
Basic Industry	0.53	%
Capital Goods	0.12	%
Consumer Cyclical	4.19	%
Consumer Discretionary	1.66	%
Consumer Non-Cyclical	0.03	%
Consumer Services	1.14	%
Consumer Staples	1.40	%
Energy	5.94	%
Financial Services	51.72	%
Foreign Government	0.19	%

Sector*	%**
Health Care	6.53	%
Integrated Oils	1.92	%
Materials & Processing	2.87	%
Municipal	0.14	%
Producer Durables	0.97	%
Technology	2.83	%
Telecommunications	1.89	%
Transportation	0.85	%
U.S. Government	10.28	%
Utilities	1.87	%
Repurchase Agreement	1.60	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

7

Short Duration Income Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†
			12/1/14 –
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,010.40	$2.96
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.99	$2.97
Class B
Actual	$1,000.00	$1,006.40	$6.95
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.00	$6.99
Class C
Actual	$1,000.00	$1,005.00	$6.20
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,018.75	$6.24
Class F
Actual	$1,000.00	$1,008.60	$2.45
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.49	$2.47
Class I
Actual	$1,000.00	$1,009.10	$1.95
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.99	$1.97
Class R2
Actual	$1,000.00	$1,008.40	$4.96
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.00	$4.99
Class R3
Actual	$1,000.00	$1,008.90	$4.46
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.49	$4.48

^† For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.59% for Class A, 1.39% for Class B, 1.24% for Class C, 0.49% for Class F, 0.39% for Class I, 0.99% for Class R2 and 0.89% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).

Portfolio Holdings Presented by Sector

May 31, 2015

Sector*	%**
Auto	1.58	%
Basic Industry	0.61	%
Capital Goods	0.17	%
Consumer Cyclical	4.05	%
Consumer Discretionary	1.46	%
Consumer Non-Cyclical	0.02	%
Consumer Services	1.34	%
Consumer Staples	1.32	%
Energy	5.93	%
Financial Services	53.27	%
Foreign Government	0.32	%

Sector*	%**
Health Care	6.45	%
Integrated Oils	1.82	%
Materials & Processing	2.82	%
Municipal	0.35	%
Producer Durables	0.49	%
Technology	2.80	%
Telecommunications	1.99	%
Transportation	0.94	%
U.S. Government	9.59	%
Utilities	1.84	%
Repurchase Agreement	0.84	%
Total	100.00	%

*	A sector may comprise several industries.
**	Represents percent of total investments.

8

Schedule of Investments (unaudited)

CONVERTIBLE FUND May 31, 2015

Investments	Shares (000)		Fair Value
LONG-TERM INVESTMENTS 98.45%
COMMON STOCKS 15.89%
Airlines 0.42%
United Continental Holdings, Inc.*		65	$	3,548,350
Auto Parts 0.50%
Mobileye NV (Israel)*(a)		89		4,190,120
Beverages 0.69%
Coca-Cola Co. (The)		98		4,014,080
Monster Beverage Corp.*		14		1,781,920
Total				5,796,000
Biotechnology 0.90%
Puma Biotechnology, Inc.*		22		4,299,900
Vertex Pharmaceuticals, Inc.*		26		3,335,540
Total				7,635,440
Chemicals 0.34%
Axalta Coating Systems Ltd.*		85		2,911,250
Consumer Services 0.24%
Sotheby’s		45		2,017,350
Entertainment 0.99%
IMAX Corp. (Canada)*(a)		106		4,276,040
International Speedway Corp. Class A		110		4,095,300
Total				8,371,340
Food 0.42%
WhiteWave Foods Co. (The)*		73		3,506,190
Health Equipment & Supply 0.24%
Ocular Therapeutix, Inc.*		85		2,054,450
Insurance: Life 0.49%
Prudential Financial, Inc.		49		4,145,890
Insurance: Multi-Line 0.47%
Hanover Insurance Group, Inc. (The)		56		3,986,080

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(continued)

CONVERTIBLE FUND May 31, 2015

Investments	Shares (000)		Fair Value
Internet Software & Services 1.76%
GoDaddy, Inc. Class A*		217	$	5,843,810
GrubHub, Inc.*		135		5,443,200
Yelp, Inc.*		75		3,593,250
Total				14,880,260
Leisure Facilities 0.62%
MGM Resorts International*		260		5,213,000
Miscellaneous: Financial 0.83%
Alliance Data Systems Corp.*		11		3,337,936
Ares Management LP		138		2,689,620
Goldman Sachs BDC, Inc.		45		1,000,800
Total				7,028,356
Miscellaneous: Materials 0.26%
Summit Materials, Inc. Class A*		80		2,200,000
Oil & Gas Products 0.39%
Parsley Energy, Inc. Class A*		188		3,288,120
Oil: Integrated 0.54%
Eclipse Resources Corp.*		300		1,890,000
Memorial Resource Development Corp.*		139		2,628,490
Total				4,518,490
Pharmaceuticals 0.39%
Intercept Pharmaceuticals, Inc.*		13		3,317,535
Precious Metals 0.21%
Royal Gold, Inc.		28		1,813,560
Real Estate 0.61%
Boston Properties, Inc.		23		2,990,690
InfraREIT, Inc.		71		2,151,300
Total				5,141,990
Restaurants 0.93%
Cracker Barrel Old Country Store, Inc.		15		2,116,200
Starbucks Corp.		40		2,078,400
Yum! Brands, Inc.		41		3,694,510
Total				7,889,110

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CONVERTIBLE FUND May 31, 2015

Investments			Shares (000)		Fair Value
Retail: Specialty 1.32%
Netflix, Inc.*				12	$	7,176,690
Penske Automotive Group, Inc.				77		3,973,970
Total						11,150,660
Semiconductors 0.42%
Cavium, Inc.*				50		3,518,500
Software—Applications & Systems 1.91%
FireEye, Inc.*				95		4,424,150
Qlik Technologies, Inc.*				156		5,638,541
Splunk, Inc.*				30		2,028,600
VeriFone Systems, Inc.*				106		4,046,020
Total						16,137,311
Total Common Stocks (cost $127,029,354)						134,259,352
	Interest Rate	Maturity Date	Principal Amount (000)
CONVERTIBLE BONDS 65.23%
Airlines 0.47%
Atlas Air Worldwide Holdings, Inc.	2.25%	6/1/2022	$	4,000		4,000,000
Autos 4.74%
Fiat Chrysler Automobiles NV (United Kingdom)(a)	7.875%	12/15/2016		11,796		15,832,510
Tesla Motors, Inc.	1.25%	3/1/2021		25,130		24,203,331
Total						40,035,841
Biotechnology 3.43%
Array BioPharma, Inc.	3.00%	6/1/2020		5,490		7,215,919
BioMarin Pharmaceutical, Inc.	1.50%	10/15/2020		5,900		8,894,250
Clovis Oncology, Inc.†	2.50%	9/15/2021		2,500		4,154,687
Regeneron Pharmaceuticals, Inc.	1.875%	10/1/2016		1,425		8,686,266
Total						28,951,122
Computers & Peripherals 1.47%
SanDisk Corp.	1.50%	8/15/2017		8,535		12,386,419
Consumer Services 0.29%
Ctrip.com International Ltd. (China)(a)	1.25%	10/15/2018		2,000		2,471,250
Diversified Financials 2.80%
MGIC Investment Corp.†	9.00%	4/1/2063		18,200		23,694,125

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

CONVERTIBLE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
e-Commerce 2.15%
HomeAway, Inc.	0.125%	4/1/2019	$	18,855	$	18,124,369
Entertainment 1.09%
CenterPoint Energy, Inc.	3.943%	9/15/2029		133		9,206,670
Food 0.63%
Herbalife Ltd.	2.00%	8/15/2019		6,000		5,313,780
Health Equipment & Supply 3.22%
Alere, Inc.	3.00%	5/15/2016		7,185		8,837,550
Fluidigm Corp.	2.75%	2/1/2034		9,110		8,073,737
Hologic, Inc.	Zero Coupon	12/15/2043		8,690		10,335,669
Total						27,246,956
Health Services 1.65%
Carriage Services, Inc.	2.75%	3/15/2021		4,500		5,568,750
Omnicare, Inc.	3.50%	2/15/2044		5,802		8,373,011
Total						13,941,761
Homebuilders 2.30%
Lennar Corp.†	3.25%	11/15/2021		4,310		8,668,488
Toll Brothers Finance Corp.	0.50%	9/15/2032		10,395		10,784,812
Total						19,453,300
Internet Software & Services 12.30%
Cornerstone OnDemand, Inc.	1.50%	7/1/2018		9,321		9,274,395
LinkedIn Corp.†	0.50%	11/1/2019		11,105		11,063,412
Priceline Group, Inc. (The)†	0.90%	9/15/2021		34,400		33,819,500
Twitter, Inc.†	1.00%	9/15/2021		20,690		18,776,175
Vipshop Holdings Ltd. (China)(a)	1.50%	3/15/2019		2,540		3,525,838
Yahoo!, Inc.	Zero Coupon	12/1/2018		25,330		27,451,387
Total						103,910,707
Machinery 1.69%
Chart Industries, Inc.	2.00%	8/1/2018		9,875		9,733,047
Danaher Corp.	Zero Coupon	1/22/2021		1,800		4,511,250
Total						14,244,297
Miscellaneous: Energy 0.51%
SolarCity Corp.†	1.625%	11/1/2019		4,380		4,317,037

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CONVERTIBLE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Miscellaneous: Transportation 1.73%
Echo Global Logistics, Inc.	2.50%	5/1/2020	$	7,896	$	8,562,225
XPO Logistics, Inc.	4.50%	10/1/2017		2,000		6,023,750
Total						14,585,975
Oil & Gas Products 0.56%
Energy XXI Ltd.	3.00%	12/15/2018		13,946		4,741,640
Oil Services 1.03%
Helix Energy Solutions Group, Inc.	3.25%	3/15/2032		8,500		8,696,562
Oil: Integrated 1.40%
Chesapeake Energy Corp.	2.50%	5/15/2037		12,129		11,810,614
Pharmaceuticals 4.75%
Gilead Sciences, Inc.	1.625%	5/1/2016		3,845		18,996,722
Isis Pharmaceuticals, Inc.†	1.00%	11/15/2021		5,950		7,192,063
Mylan, Inc.	3.75%	9/15/2015		2,565		13,968,028
Total						40,156,813
Precious Metals 0.95%
Royal Gold, Inc.	2.875%	6/15/2019		7,585		8,059,062
Real Estate 0.57%
American Realty Capital Properties, Inc.	3.00%	8/1/2018		5,000		4,800,000
Retail: Specialty 1.42%
Restoration Hardware Holdings, Inc.†	Zero Coupon	6/15/2019		11,745		11,987,241
Semiconductors 9.70%
Intel Corp.	3.25%	8/1/2039		13,455		22,881,977
Lam Research Corp.	0.50%	5/15/2016		4,225		5,677,344
Micron Technology, Inc.	2.125%	2/15/2033		5,340		13,757,175
Micron Technology, Inc.	3.00%	11/15/2043		11,405		12,887,650
Rambus, Inc.	1.125%	8/15/2018		7,694		10,641,764
SunPower Corp.	0.75%	6/1/2018		11,860		16,092,537
Total						81,938,447
Software – Applications & Systems 2.98%
FireEye, Inc.†	1.00%	6/1/2035		3,255		3,421,819
FireEye, Inc.†	1.625%	6/1/2035		2,300		2,419,313
Medidata Solutions, Inc.	1.00%	8/1/2018		8,660		10,668,037
Proofpoint, Inc.	1.25%	12/15/2018		2,900		4,645,437
salesforce.com, Inc.	0.25%	4/1/2018		3,230		4,047,594
Total						25,202,200

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)(continued)

CONVERTIBLE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Steel 1.40%
U.S. Steel Corp.	2.75%	4/1/2019	$	9,730	$	11,870,600
Total Convertible Bonds (cost $525,968,392)						551,146,788
	Dividend Rate		Shares (000)
CONVERTIBLE PREFERRED STOCKS 16.84%
Banks: Regional 2.78%
Wells Fargo & Co.	7.50%			19		23,463,391
Diversified Financials 0.88%
AMG Capital Trust II	5.15%			121		7,456,625
Health Services 2.12%
Anthem, Inc.	5.25%			329		17,902,594
Homebuilders 0.90%
William Lyon Homes, Inc. Unit	6.50%			67		7,638,000
Oil: Integrated 3.20%
Chesapeake Energy Corp.†	5.75%			25		20,593,750
Penn Virginia Corp.†	6.00%			123		6,429,210
Total						27,022,960
Pharmaceuticals 2.99%
Actavis plc	5.50%			24		25,227,286
Real Estate 1.64%
American Tower Corp.	5.50%			138		13,901,250
Utilities: Electric 1.46%
NextEra Energy, Inc.	5.799%			220		12,323,399
Wireless Communications Services 0.87%
T-Mobile US, Inc.	5.50%			106		7,317,678
Total Convertible Preferred Stocks (cost $144,613,944)						142,253,183

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

CONVERTIBLE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
CORPORATE BOND 0.49%
Banks: Regional
Wells Fargo & Co.†
(cost $4,320,000)	0.125%	4/28/2021	$	4,320	$	4,170,096
	Exercise Price	Expiration Date		Shares (000)
WARRANT 0.00%
Miscellaneous: Energy
Evergreen Energy, Inc.*
(cost $0)	$7.20	2/4/2016		182		–	(b)
Total Long-Term Investments (cost $801,931,690)						831,829,419
			Principal Amount (000)
SHORT-TERM INVESTMENT 2.30%
Repurchase Agreement
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $19,795,000 of U.S. Treasury Note at 0.75% due 10/31/2017; value: $19,802,067; proceeds: $19,410,373 (cost $19,410,373)			$	19,410		19,410,373
Total Investments in Securities 100.75% (cost $821,342,063)						851,239,792
Liabilities in Excess of Cash & Other Assets (0.75%)						(6,360,716	)
Net Assets 100.00%					$	844,879,076

Unit	More than one class of securities traded together.
*	Non-income producing security.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
(a)	Foreign security traded in U.S. dollars.
(b)	Valued at zero as of May 31, 2015.

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(concluded)

CONVERTIBLE FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1		Level 2		Level 3			Total
Common Stocks	$	134,259,352	$	–	$	–		$	134,259,352
Convertible Bonds		–		551,146,788		–			551,146,788
Convertible Preferred Stocks
Banks: Regional(3)		23,463,391		–		–			23,463,391
Diversified Financials		–		7,456,625		–			7,456,625
Health Services		17,902,594		–		–			17,902,594
Homebuilders		–		7,638,000		–			7,638,000
Oil: Integrated		–		27,022,960		–			27,022,960
Pharmaceuticals		25,227,286		–		–			25,227,286
Real Estate		13,901,250		–		–			13,901,250
Utilities: Electric		12,323,399		–		–			12,323,399
Wireless Communications Services		7,317,678		–		–			7,317,678
Corporate Bond		–		4,170,096		–			4,170,096
Warrant		–		–		–	(4)		–	(4)
Repurchase Agreement		–		19,410,373		–			19,410,373
Total	$	234,394,950	$	616,844,842	$	–	(4)	$	851,239,792

(1)	Refer to Note 2(r) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography.
(3)	As of May 31, 2015, Wells Fargo & Co. was categorized as Level 1 due to active market trading. During the period ended May 31, 2015, $14,142,698 was transferred from Level 2 to Level 1.
(4)	Valued at zero as of May 31, 2015.

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

Investment Type	Warrant
Balance as of December 1, 2014	$	–	(1)
Accrued discounts/premiums		–
Realized gain (loss)		–
Change in unrealized appreciation/depreciation		–
Purchases		–
Sales		–
Net transfers in or out of Level 3		–
Balance as of May 31, 2015	$	–	(1)

⁽¹⁾ Valued at zero as of December 1, 2014 and May 31, 2015, respectively.

16 See Notes to Financial Statements.

Schedule of Investments (unaudited)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
LONG-TERM INVESTMENTS 95.27%
ASSET-BACKED SECURITY 0.04%
Other
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2† (cost $2,397,406)	0.54%	#	2/1/2041	$	2,800	$	2,629,200
				Shares (000)
COMMON STOCKS 0.02%
Metals/Minerals 0.01%
Mirabela Nickel Ltd.*(a)				AUD	8,607		821,207
Service 0.01%
Travelport Worldwide Ltd. (United Kingdom)(b)					24		360,171
Total Common Stocks (cost $660,179)							1,181,378
				Principal Amount (000)
CORPORATE BONDS 5.29%
Aerospace 0.10%
Air Canada (Canada)†(b)	7.75%		4/15/2021	$	6,250		6,718,750
Chemicals 0.24%
Grupo Idesa SA de CV (Mexico)†(b)	7.875%		12/18/2020		3,400		3,570,000
Hexion, Inc.	6.625%		4/15/2020		8,950		8,480,125
TPC Group, Inc.†	8.75%		12/15/2020		4,660		4,531,850
Total							16,581,975
Consumer Non-Durables 0.33%
FGI Operating Co. LLC/FGI Finance, Inc.	7.875%		5/1/2020		1,600		1,288,000
Hot Topic, Inc.†	9.25%		6/15/2021		5,000		5,437,500
NES Rentals Holdings, Inc.†	7.875%		5/1/2018		10,295		10,578,113
Springs Industries, Inc.	6.25%		6/1/2021		5,500		5,445,000
Total							22,748,613
Energy 1.33%
Bill Barrett Corp.	7.00%		10/15/2022		1,475		1,357,000
Bill Barrett Corp.	7.625%		10/1/2019		1,543		1,481,280
Clayton Williams Energy, Inc.	7.75%		4/1/2019		4,905		4,635,225

See Notes to Financial Statements. 17

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Energy (continued)
CrownRock LP/CrownRock Finance, Inc.†	7.75%		2/15/2023	$	2,650	$	2,828,875
Energy Transfer Equity LP	7.50%		10/15/2020		3,717		4,265,258
FTS International, Inc.†(c)	7.783%	#	6/15/2020		13,883		13,891,302
GeoPark Latin America Ltd. Agencia en Chile (Chile)†(b)	7.50%		2/11/2020		7,500		6,712,500
Gulfport Energy Corp.	7.75%		11/1/2020		2,965		3,150,313
Light Tower Rentals, Inc.†	8.125%		8/1/2019		3,935		3,344,750
Memorial Resource Development Corp.†	5.875%		7/1/2022		3,125		3,070,313
Northern Tier Energy LLC/Northern Tier Finance Corp.	7.125%		11/15/2020		3,840		4,012,800
Parsley Energy LLC/Parsley Finance Corp.†	7.50%		2/15/2022		6,000		6,292,200
Penn Virginia Corp.	8.50%		5/1/2020		1,846		1,753,700
Rex Energy Corp.	8.875%		12/1/2020		3,920		3,665,200
Rockies Express Pipeline LLC†	5.625%		4/15/2020		7,275		7,620,562
Sabine Pass Liquefaction LLC†	5.625%		3/1/2025		9,800		9,836,750
Seven Generations Energy Ltd. (Canada)†(b)	8.25%		5/15/2020		8,875		9,562,812
Ultra Petroleum Corp.†	6.125%		10/1/2024		5,216		4,818,280
Total							92,299,120
Financial 0.08%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC†	7.875%		12/15/2020		4,075		4,207,438
CNO Financial Group, Inc.	4.50%		5/30/2020		1,637		1,695,236
Total							5,902,674
Food & Drug 0.26%
BI-LO LLC/BI-LO Finance Corp.†	9.25%		2/15/2019		5,495		5,728,538
Checkers Drive-In Restaurants, Inc.†	11.00%		12/1/2017		5,900		6,408,875
WhiteWave Foods Co. (The)	5.375%		10/1/2022		5,295		5,731,837
Total							17,869,250
Food/Tobacco 0.28%
Carrols Restaurant Group, Inc.†	8.00%		5/1/2022		1,715		1,805,038
CEC Entertainment, Inc.	8.00%		2/15/2022		4,017		4,097,340
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. (Greece)†(b)	9.875%		2/1/2020		5,405		5,715,787
PF Chang’s China Bistro, Inc.†	10.25%		6/30/2020		7,875		8,150,625
Total							19,768,790
Forest Products 0.06%
PaperWorks Industries, Inc.†	9.50%		8/15/2019		4,260		4,339,875

18 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Gaming/Leisure 0.25%
Greektown Holdings LLC/Greektown Mothership Corp.†	8.875%	3/15/2019	$	4,995	$	5,307,187
Mohegan Tribal Gaming Authority†	11.00%	9/15/2018		4,601		4,629,756
Pinnacle Entertainment, Inc.	6.375%	8/1/2021		4,183		4,486,268
ROC Finance LLC/ROC Finance 1 Corp.†	12.125%	9/1/2018		2,864		3,094,910
Total						17,518,121
Healthcare 0.03%
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (Luxembourg)†(b)	4.875%	4/15/2020		2,254		2,315,985
Housing 0.20%
CPG Merger Sub LLC†	8.00%	10/1/2021		3,918		4,133,490
Modular Space Corp.†	10.25%	1/31/2019		5,100		4,373,250
Ply Gem Industries, Inc.	6.50%	2/1/2022		5,520		5,395,800
Total						13,902,540
Information Technology 0.08%
Blue Coat Holdings, Inc.†	8.375%	6/1/2023		5,292		5,358,150
Media/Telecommunications 0.35%
iHeartCommunications, Inc.	5.50%	12/15/2016		9,000		8,707,500
iHeartCommunications, Inc.	10.00%	1/15/2018		5,250		4,547,813
Virgin Media Finance plc (United Kingdom)†(b)	6.00%	10/15/2024		4,630		4,844,137
WaveDivision Escrow LLC/WaveDivision Escrow Corp.†	8.125%	9/1/2020		2,283		2,419,980
Zayo Group LLC/Zayo Capital, Inc.†	6.00%	4/1/2023		3,381		3,413,086
Total						23,932,516
Metals/Minerals 0.25%
Coeur Mining, Inc.	7.875%	2/1/2021		10,000		8,650,000
Mirabela Nickel Ltd. (Australia)(b)	1.00%	9/16/2044		50		5
Penn Virginia Corp.	7.25%	4/15/2019		1,339		1,205,100
Thompson Creek Metals Co., Inc.	7.375%	6/1/2018		8,250		7,218,750
Total						17,073,855
Retail 0.41%
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.†	7.875%	10/1/2022		7,596		7,671,960
Rent-A-Center, Inc.	6.625%	11/15/2020		5,280		5,253,600
Rite Aid Corp.†	6.125%	4/1/2023		4,606		4,807,512
Tops Holding LLC/Tops Markets LLC	8.875%	12/15/2017		6,000		6,300,000
Toys R Us Property Co. II LLC	8.50%	12/1/2017		3,990		4,039,875
Total						28,072,947

See Notes to Financial Statements. 19

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Service 0.39%
Alliance Data Systems Corp.†	6.375%		4/1/2020	$	3,760	$	3,933,900
First Data Corp.	10.625%		6/15/2021		2,275		2,576,437
Jurassic Holdings III, Inc.†	6.875%		2/15/2021		7,250		6,071,875
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.	7.375%		10/1/2017		13,600		14,246,000
Total							26,828,212
Transportation 0.38%
Dynagas LNG Partners LP/Dynagas Finance, Inc. (Greece)(b)	6.25%		10/30/2019		9,340		8,452,700
Florida East Coast Holdings Corp.†	6.75%		5/1/2019		4,987		4,987,000
GasLog Ltd.†(a)	7.00%	#	6/27/2018	NOK	38,000		5,097,636
Stackpole International Intermediate/Stackpole International Powder (Luxembourg)†(b)	7.75%		10/15/2021	$	7,485		7,494,356
Total							26,031,692
Utility 0.27%
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.†(d)	11.75%		3/1/2022		7,883		8,813,776
Illinois Power Generating Co.	7.00%		4/15/2018		7,007		6,831,825
NSG Holdings LLC/NSG Holdings, Inc.†	7.75%		12/15/2025		2,879		3,167,140
Total							18,812,741
Total Corporate Bonds (cost $373,934,946)							366,075,806
FLOATING RATE LOANS(e) 89.42%
Aerospace 2.86%
American Airlines, Inc. 2015 New Term Loan	3.50%		6/27/2020		38,722		38,721,926
AWAS Finance Luxembourg 2012 SA Term Loan (Luxembourg)(b)	3.50%		7/16/2018		19,196		19,261,855
DAE Aviation Holdings, Inc. 2nd Lien Initial Term Loan	7.75%		8/5/2019		13,052		13,182,520
Delta Air Lines, Inc. 2014 Term Loan B1	3.25%		10/18/2018		33,757		33,800,824
Doncasters U.S. Finance LLC 2nd Lien Term Loan	9.50%		10/9/2020		14,315		14,332,721
TransDigm, Inc. Tranche C Term Loan	3.75%		2/28/2020		29,457		29,444,265
TransDigm, Inc. Tranche D Term Loan	3.75%		6/4/2021		5,195		5,197,774
United Air Lines, Inc. Class B Term Loan	3.50%		4/1/2019		26,177		26,265,450
United Air Lines, Inc. Class B1 Term Loan	3.75%		9/15/2021		17,612		17,706,866
Total							197,914,201

20 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Chemicals 2.95%
American Pacific Corp. Term Loan	7.00%	2/27/2019	$	12,996	$	13,147,712
Axalta Coating Systems Dutch Holding B B.V. Refinanced Term Loan B	3.75%	2/1/2020		23,649		23,678,088
Chemours Company Co. (The) Tranche B Term Loan	3.75%	5/12/2022		17,146		17,199,581
EWT Holdings III Corp. 1st Lien Term Loan	4.75%	1/15/2021		11,972		12,016,710
Huntsman International LLC 2014-1 Incremental Term Loan	3.75%	8/12/2021		29,925		30,060,560
INEOS Finance plc 2022 Euro Term Loan(a)	4.25%	3/31/2022	EUR	8,950		9,878,001
INEOS US Finance LLC 2022 Dollar Term Loan	4.25%	3/31/2022	$	10,665		10,694,489
INEOS US Finance LLC Cash Dollar Term Loan	3.75%	5/4/2018		23,185		23,222,219
OXEA Finance & Cy S.C.A. 1st Lien Tranche B2 Term Loan	4.25%	1/15/2020		14,622		14,152,638
OXEA Finance & Cy S.C.A. 2nd Lien Term Loan	8.25%	7/15/2020		15,907		14,729,882
Phibro Animal Health Corp. Term Loan B	4.00%	4/16/2021		10,167		10,160,159
Tata Chemicals North America Term Loan	3.75%	8/7/2020		25,273		25,289,148
Total						204,229,187
Consumer Durables 0.24%
Britax US Holdings, Inc. Initial Dollar Term Loan	4.50%	10/15/2020		11,708		9,425,231
Spectrum Brands, Inc. Tranche A Term Loan	3.00%	9/4/2017		3,303		3,308,696
Spectrum Brands, Inc. Tranche C Term Loan	3.50%	9/4/2019		4,027		4,043,735
Total						16,777,662
Consumer Non-Durables 1.08%
Charger OpCo B.V. EUR Term Loan B1(a)	3.50%	7/23/2021	EUR	11,950		13,279,557
Charger OpCo B.V. US Term Loan B1 (Netherlands)(b)	3.50%	7/23/2021	$	16,610		16,679,181
FGI Operating Co. LLC Term Loan B	5.50%	4/19/2019		18,477		18,038,085
Hanesbrands, Inc. New Term Loan B	3.25%	4/29/2022		5,878		5,933,106
Nortek, Inc. Term Loan	3.50%	10/30/2020		3,918		3,913,710
Vogue International LLC Tranche B Initial Term Loan	5.75%	2/14/2020		16,629		16,816,202
Total						74,659,841
Energy 3.28%
Bayonne Energy Center LLC Advance Term Loan B	5.00%	8/19/2021		9,184		9,260,548
C&J Energy Services, Inc. Tranche B1 Initial Term Loan	6.50%	3/24/2020		14,622		13,811,722
Callon Petroleum Co. 2nd Lien Term Loan	8.50%	10/8/2021		9,840		9,872,767

See Notes to Financial Statements. 21

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Energy (continued)
Chief Exploration & Development LLC 2nd Lien Term Loan	7.50%	5/12/2021	$	16,758	$	16,073,235
CITGO Holding, Inc. Term Loan	9.50%	5/12/2018		1,957		1,986,412
CITGO Petroleum Corp. Term Loan B	4.50%	7/29/2021		12,201		12,264,726
EIF Channelview Cogeneration LLC Term Loan	4.25%	5/8/2020		18,408		18,454,283
EMG Utica LLC Term Loan	4.75%	3/27/2020		13,272		13,105,878
Energy Transfer Equity LP 2013 Term Loan	3.25%	12/2/2019		7,200		7,178,508
Energy Transfer Equity LP Term Loan	4.00%	12/2/2019		9,104		9,125,801
Fieldwood Energy LLC 2nd Lien Closing Date Term Loan	8.375%	9/30/2020		25,827		21,291,494
Gates Global LLC Initial Dollar Term Loan	4.25%	7/5/2021		11,694		11,664,361
Jonah Energy LLC 2nd Lien Initial Term Loan	7.50%	5/12/2021		13,638		12,973,296
Longview Power LLC Advance Term Loan B	7.00%	4/13/2021		6,367		6,434,681
MEG Energy Corp. New Term Loan (Canada)(b)	3.75%	3/31/2020		10,492		10,345,556
Moxie Patriot LLC Advanced Construction Term Loan B1	6.75%	12/19/2020		12,875		12,875,000
NGPL PipeCo LLC Term Loan	6.75%	9/15/2017		3,637		3,510,501
Templar Energy LLC 2nd Lien New Term Loan	8.50%	11/25/2020		22,059		17,101,111
Western Refining, Inc. 2013 Term Loan	4.25%	11/12/2020		18,990		19,055,317
Total						226,385,197
Financial 3.31%
Alliant Holdings I LLC Initial Term Loan	5.00%	12/20/2019		20,314		20,517,565
Communications Sales & Leasing, Inc. Term Loan	5.00%	10/24/2022		17,140		17,112,147
Delos Finance S.A.R.L. Term Loan (Luxembourg)(b)	3.50%	3/6/2021		40,296		40,392,917
Fly Funding II S.A.R.L Term Loan (Luxembourg)(b)	3.50%	8/9/2019		31,627		31,750,028
HUB International Ltd. Initial Term Loan	4.00%	10/2/2020		27,491		27,427,591
National Financial Partners Corp. 2014 Specified Refinancing Term Loan	4.50%	7/1/2020		22,573		22,671,829
Ocwen Loan Servicing Initial Term Loan	5.00%	2/15/2018		22,816		22,679,097
PGX Holdings, Inc. 1st Lien Initial Term Loan	6.25%	9/29/2020		5,446		5,486,908
Sedgwick Claims Management Services, Inc. 1st Lien Initial Term Loan	3.75%	3/1/2021		20,182		20,000,451
Sedgwick Claims Management Services, Inc. 2nd Lien Initial Term Loan	6.75%	2/28/2022		19,435		19,222,209
Walter Investment Management Corp. Tranche B Term Loan	4.75%	12/18/2020		1,589		1,508,941
Total						228,769,683

22 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Food & Drug 2.78%
Albertson’s LLC Term Loan B2	5.375%	3/21/2019	$	64,824	$	65,257,579
New Albertson’s, Inc. Term Loan B	4.75%	6/27/2021		5,477		5,502,124
P.F. Chang’s China Bistro, Inc. Borrowing Term Loan	4.25%	6/30/2020		18,313		18,175,346
Red Lobster Management LLC 1st Lien Initial Term Loan	6.25%	7/28/2021		15,054		15,217,464
Rite Aid Corp. 2nd Lien Tranche 1 Term Loan	5.75%	8/21/2020		21,230		21,482,106
Rite Aid Corp. 2nd Lien Tranche 2 Term Loan	4.875%	6/21/2021		21,295		21,365,874
Smart & Final, Inc. 1st Lien Term Loan	4.00%	11/15/2019		22,394		22,464,125
Supervalu, Inc. New Term Loan	4.50%	3/21/2019		22,246		22,343,755
Total						191,808,373
Food/Tobacco 3.14%
Candy Intermediate Holdings, Inc. Initial Term Loan	7.50%	6/18/2018		16,502		16,543,388
Del Monte Foods, Inc. 2nd Lien Initial Term Loan	8.25%	8/18/2021		8,000		7,315,000
Diamond Foods, Inc. Term Loan	4.25%	8/20/2018		10,060		10,087,984
Fairway Group Acquisition Co. 2013 Term Loan	5.00%	8/17/2018		7,279		7,066,240
H.J. Heinz Co. Term Loan B2	3.25%	6/5/2020		69,711		69,833,409
New HB Acquisition LLC Term Loan B	6.75%	4/9/2020		25,171		25,580,331
New Red Finance, Inc. Term Loan B (Canada)(b)	3.75%	12/10/2021		32,776		32,843,916
Performance Food Group, Inc. 2nd Lien Initial Term Loan	6.25%	11/14/2019		17,415		17,537,986
Pinnacle Foods Finance LLC New Term Loan G	3.00%	4/29/2020		13,782		13,768,421
Post Holdings, Inc. Series A Incremental Term Loan	3.75%	6/2/2021		16,163		16,147,322
Total						216,723,997
Forest Products 2.84%
A. Schulman, Inc. Initial U.S. Term Loan B	4.00%	6/1/2022		6,859		6,897,616
Berry Plastics Corp. Term Loan D	3.50%	2/8/2020		25,411		25,406,052
Caraustar Industries, Inc. Term Loan	8.00%	5/1/2019		19,441		19,556,340
CD&R Millennium Holdco 6 S.A.R.L. 1st Lien Initial Dollar Term Loan (Luxembourg)(b)	4.50%	7/31/2021		9,796		9,834,566
CD&R Millennium Holdco 6 S.A.R.L. 2nd Lien Initial Term Loan (Luxembourg)(b)	8.25%	7/31/2022		16,195		16,242,209
Flying Fortress, Inc. New Term Loan	3.50%	4/30/2020		19,245		19,314,850
Onex Wizard Acquisition Co. II S.C.A. Initial Dollar Term Loan	4.25%	3/11/2022		11,631		11,703,694
Onex Wizard Acquisition Co. II S.C.A. Initial Euro Term Loan(a)	4.25%	3/11/2022	EUR	8,950		9,954,870

See Notes to Financial Statements. 23

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Forest Products (continued)
Reynolds Group Holdings, Inc. Incremental US Term Loan	4.50%	12/1/2018	$	23,995	$	24,132,028
Signode Industrial Group LUX SA Initial Term Loan B	3.75%	5/1/2021		31,244		31,224,454
Viskase Cos., Inc. Initial Term Loan	4.25%	1/30/2021		22,248		21,955,871
Total						196,222,550
Gaming/Leisure 7.02%
Caesar’s Entertainment Operating Co., Inc. Term Loan B6	11.00%	3/1/2017		15,710		14,760,252
Caesar’s Entertainment Operating Co., Inc. Term Loan B7	9.00% - 9.75%	1/28/2018		10,753		9,923,282
Caesar’s Entertainment Resort Properties LLC Term Loan B	7.00%	10/11/2020		19,311		18,614,092
Caesar’s Growth Properties Holdings LLC 1st Lien Term Loan B	6.25%	5/8/2021		19,850		18,006,729
Cannery Casino Resorts LLC 1st Lien Term Loan	6.00%	10/2/2018		4,234		4,226,862
Cannery Casino Resorts LLC 2nd Lien Term Loan	10.00%	10/2/2019		23,767		21,816,205
CCM Merger, Inc. Term Loan	4.50%	8/6/2021		17,027		17,146,869
CityCenter Holdings LLC Term Loan B	4.25%	10/16/2020		28,635		28,784,921
Diamond US Holding LLC Initial Term Loan	4.75%	12/17/2021		11,626		11,698,524
Equinox Holdings, Inc. 2nd Lien Initial Term Loan	9.75%	7/31/2020		18,000		18,337,500
Equinox Holdings, Inc. New Initial 1st Lien Term Loan	5.00%	1/31/2020		25,375		25,581,627
Four Seasons Holdings, Inc. 2013 1st Lien Term Loan (Canada)(b)	3.50%	6/27/2020		12,655		12,683,613
Global Cash Access, Inc. Term Loan B	6.25%	12/18/2020		14,656		14,835,011
Hilton Worldwide Finance LLC Initial Term Loan	3.50%	10/26/2020		52,763		52,918,269
Las Vegas Sands LLC Term Loan B	3.25%	12/19/2020		34,869		34,910,422
MGM Resorts International Term Loan B	3.50%	12/20/2019		42,222		42,243,790
Mohegan Tribal Gaming Authority Term Loan A	4.525%	6/15/2018		4,898		4,881,665
Mohegan Tribal Gaming Authority Term Loan B	5.50%	11/19/2019		20,797		20,769,393
Peninsula Gaming LLC Term Loan B	4.25%	11/20/2017		12,543		12,602,762
Pinnacle Entertainment, Inc. Tranche B2 Term Loan	3.75%	8/13/2020		17,561		17,637,386
ROC Finance LLC Funded Term Loan B	5.00%	6/20/2019		9,938		9,818,167
Scientific Games International, Inc. Initial Term Loan	6.00%	10/18/2020		4,115		4,137,995
Scientific Games International, Inc. Initial Term Loan B2	6.00%	10/1/2021		27,252		27,398,178
Seminole Hard Rock Entertainment, Inc. New Term Loan B	3.50%	5/14/2020		15,720		15,710,175

24 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Gaming/Leisure (continued)
Seminole Tribe of Florida Initial Term Loan	3.00%	4/29/2020	$	10,303	$	10,318,542
Town Sports International LLC Initial Term Loan	4.50%	11/15/2020		11,280		9,647,455
Yonkers Racing Corp. 1st Lien Initial Term Loan	4.25%	8/20/2019		5,730		5,643,623
Total						485,053,309
Healthcare 11.43%
Acadia Healthcare Co, Inc. Tranche B Term Loan	4.25%	2/11/2022		9,183		9,280,295
Alere, Inc. Term Loan B	4.25%	6/10/2022		4,879		4,899,323
AmSurg Corp. Initial Term Loan	3.75%	7/16/2021		16,606		16,684,723
Ardent Medical Services, Inc. 1st Lien Term Loan	6.75%	7/2/2018		22,532		22,634,777
Ardent Medical Services, Inc. 2nd Lien Term Loan	11.00%	1/2/2019		9,786		9,920,268
Auris Luxembourg III S.A.R.L. Facility Term Loan B2 (Luxembourg)(b)	5.50%	1/17/2022		6,865		6,886,453
Biomet, Inc. Dollar Term Loan B2	3.685%	7/25/2017		13,186		13,190,173
Catalent Pharma Solutions, Inc. Dollar Term Loan	4.25%	5/20/2021		7,821		7,863,660
CHG Healthcare Services, Inc. 1st Lien Term Loan	4.25%	11/19/2019		22,382		22,514,848
CHS/Community Health Systems, Inc. 2018 Incremental Term Loan F	3.435% - 3.534%	12/31/2018		27,305		27,418,725
CHS/Community Health Systems, Inc. 2019 Incremental Term Loan G	3.75%	12/31/2019		51,350		51,420,863
CHS/Community Health Systems, Inc. 2019 Term Loan A	2.435% - 2.534%	1/25/2019		33,842		33,791,616
Concordia Healthcare Corp. Initial Term Loan (Canada)(b)	4.75%	4/21/2022		5,878		5,936,780
DaVita HealthCare Partners, Inc. Tranche B Term Loan	3.50%	6/24/2021		20,771		20,858,028
Emdeon, Inc. Term Loan B2	3.75%	11/2/2018		26,601		26,697,089
Genoa, a QoL Healthcare Co. LLC 1st Lien Initial Term Loan	4.50%	4/29/2022		2,939		2,945,436
Grifols Worldwide Operations Ltd. US Tranche B Term Loan	3.185%	2/27/2021		41,943		42,104,321
HCA, Inc. Tranche B4 Term Loan	3.025%	5/1/2018		36,306		36,359,483
HCA, Inc. Tranche B5 Term Loan	2.935%	3/31/2017		9,770		9,783,637
Horizon Pharma, Inc. 2015 Term Loan	4.50%	5/7/2021		6,859		6,909,002
Iasis Healthcare LLC Term Loan B2	4.50%	5/3/2018		24,164		24,282,371
IMS Health, Inc. Dollar Term Loan B	3.50%	3/17/2021		10,458		10,467,778
Kindred Healthcare, Inc. New Term Loan	4.25%	4/9/2021		26,262		26,426,459
Kinetic Concepts, Inc. Dollar Term Loan E1	4.50%	5/4/2018		30,195		30,459,214

See Notes to Financial Statements. 25

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Healthcare (continued)
Mallinckrodt International Finance SA Incremental Term Loan B1 (Luxembourg)(b)	3.50%	3/19/2021	$	28,368	$	28,421,347
Millennium Health LLC Tranche B Term Loan	5.25%	4/16/2021		38,358		26,946,715
MPH Acquisition Holdings LLC Initial Term Loan	3.75%	3/31/2021		31,671		31,656,743
National Mentor Holdings, Inc. Tranche B Term Loan	4.25%	1/31/2021		25,698		25,796,286
Onex Carestream Finance LP 2013 1st Lien Term Loan	5.00%	6/7/2019		6,999		7,019,437
Par Pharmaceutical Cos., Inc. Term Loan B3	4.25%	9/30/2019		7,818		7,850,507
PharMedium Healthcare Corp. 1st Lien Initial Term Loan	4.25%	1/28/2021		18,055		18,055,492
PharMedium Healthcare Corp. 2nd Lien Initial Term Loan	7.75%	1/28/2022		3,543		3,569,890
RPI Finance Trust Term Loan B4	3.50%	11/9/2020		12,441		12,476,898
Sterigenics-Nordion Holdings LLC Initial Term Loan	4.25%	5/15/2022		14,697		14,733,742
Surgical Care Affiliates, Inc. Initial Term Loan	4.25%	3/17/2022		22,050		22,160,250
United Surgical Partners International, Inc. Extended Term Loan	4.25%	4/19/2017		3,772		3,782,841
United Surgical Partners International, Inc. New Tranche B Term Loan	4.75%	4/3/2019		18,936		18,989,442
Valeant Pharmaceuticals International, Inc. Series C2 Tranche B Term Loan (Canada)(b)	3.50%	12/11/2019		8,071		8,090,159
Valeant Pharmaceuticals International, Inc. Series D2 Term Loan B (Canada)(b)	3.50%	2/13/2019		2,469		2,471,202
Valeant Pharmaceuticals International, Inc. Series E1 Tranche B Term Loan (Canada)(b)	3.50%	8/5/2020		54,767		54,852,117
Valeant Pharmaceuticals International, Inc. Series F1 Tranche B Term Loan (Canada)(b)	4.00%	4/1/2022		33,305		33,439,386
Total						790,047,776
Housing 2.07%
Atkore International, Inc. 1st Lien Initial Term Loan	4.50%	4/9/2021		18,272		17,914,069
Atkore International, Inc. 2nd Lien Initial Term Loan	7.75%	10/9/2021		9,475		8,930,188
Cemex España S.A. EUR Facility B1 Term Loan(a)	4.50%	2/14/2017	EUR	12,485		13,721,202
Cemex España S.A. Facility A4 Term Loan (Mexico)(b)	4.683%	2/14/2017	$	14,103		14,103,191
CPG International, Inc. Term Loan	4.75%	9/30/2020		17,976		17,919,915
Nortek, Inc. Term Loan B	3.50%	10/30/2020		15,186		15,181,292

26 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Housing (continued)
Realogy Group LLC Extended Synthetic Commitment	0.026%	10/10/2016	$	2,577	$	2,553,024
Realogy Group LLC Initial 2014 Term Loan B	3.75%	3/5/2020		35,767		35,861,754
Starwood Property Trust, Inc. 1st Lien Term Loan	3.50%	4/17/2020		16,768		16,830,895
Total						143,015,530
Information Technology 7.37%
AF Borrower LLC 1st Lien Initial Term Loan	6.25%	1/28/2022		23,453		23,570,382
AF Borrower LLC 2nd Lien Initial Term Loan	10.00%	1/30/2023		10,600		10,617,702
Applied Systems, Inc. 1st Lien Initial Term Loan	4.25% - 5.50%	1/25/2021		11,801		11,840,357
Avago Technologies Cayman Ltd. Term Loan	3.75%	5/6/2021		54,747		54,877,155
Black Knight InfoServ LLC Term Loan B	3.50%	5/27/2022		4,899		4,932,705
Blue Coat Holdings, Inc. Initial Term Loan	4.50%	5/20/2022		24,499		24,567,965
BMC Software Finance, Inc. Initial US Term Loan	5.00%	9/10/2020		12,587		12,387,048
CDW LLC Term Loan	3.25%	4/29/2020		11,792		11,781,856
DealerTrack Technologies, Inc. Term Loan	3.50%	2/28/2021		24,328		24,357,964
Dell International LLC Term Loan B	4.50%	4/29/2020		54,025		54,162,693
Dell International LLC Term Loan C	3.75%	10/29/2018		13,920		13,943,596
Eastman Kodak Co. Exit Term Loan	7.25%	9/3/2019		13,276		13,357,225
Epicor Software Corp. Term Loan B2	5.25%	5/16/2018		20,291		20,344,668
EZE Software Group LLC 1st Lien Term Loan B1	4.00%	4/6/2020		12,828		12,859,821
EZE Software Group LLC 2nd Lien New Term Loan	7.25%	4/5/2021		18,256		17,891,237
Freescale Semiconductor, Inc. Tranche B4 Term Loan	4.25%	2/28/2020		39,771		39,942,452
Freescale Semiconductor, Inc. Tranche B5 Term Loan	5.00%	1/15/2021		7,973		8,042,131
Infinity Acquisition LLC Initial Term Loan	4.00%	8/6/2021		16,228		16,258,454
Infor (US), Inc. Tranche B3 Term Loan	3.75%	6/3/2020		6,842		6,820,913
Infor (US), Inc. Tranche B5 Term Loan	3.75%	6/3/2020		26,274		26,196,231
ION Trading Technologies S.A.R.L. 1st Lien Initial Dollar Term Loan (Luxembourg)(b)	4.25%	6/10/2021		5,294		5,287,500
ION Trading Technologies S.A.R.L. 2nd Lien Term Loan (Luxembourg)(b)	7.25%	6/10/2022		13,000		12,945,855
Mitchell International, Inc. Initial Term Loan	4.50%	10/12/2020		17,670		17,765,870
NXP B.V. Tranche D Term Loan (Netherlands)(b)	3.25%	1/11/2020		26,375		26,329,934
Science Applications International Corp. Incremental Tranche B Term Loan	3.75%	5/4/2022		18,223		18,337,247
SunGard Data Systems, Inc. Tranche E Term Loan	4.00%	3/8/2020		7,575		7,598,219

See Notes to Financial Statements. 27

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Information Technology (continued)
TTM Technologies, Inc. Term Loan B	6.00%	5/31/2021	$	12,247	$	12,190,909
Total						509,208,089
Manufacturing 3.21%
Accudyne Industries Borrower S.C.A./Accudyne Industries, LLC Refinancing Term Loan	4.00%	12/13/2019		7,091		6,899,328
Alison Bidco S.A.R.L. 1st Lien Initial Dollar Term Loan B2 (Germany)(b)	5.50%	8/29/2021		6,856		6,753,076
Alison US LLC 1st Lien Initial Dollar Term Loan B1 (Germany)(b)	5.50%	8/29/2021		6,856		6,753,076
Alliance Laundry Systems LLC 1st Lien Initial Term Loan	4.25%	12/10/2018		22,672		22,751,875
Alliance Laundry Systems LLC 2nd Lien Initial Term Loan	9.50%	12/10/2019		9,456		9,538,264
Arris Enterprises, Inc. Term Loan Facility B	3.25%	4/17/2020		22,419		22,494,009
Energizer SpinCo, Inc. Term Loan B	–(f)	5/20/2022		4,899		4,923,495
Faenza Acquisition GmbH Dollar Term Loan B3 (Germany)(b)	4.25%	8/30/2020		2,406		2,420,642
Faenza Acquisition GmbH Initial Dollar Term Loan B1 (Germany)(b)	4.25%	8/30/2020		8,022		8,071,825
Faenza Acquisition GmbH Initial Dollar Term Loan B2 (Germany)	4.25%	8/30/2020		810		814,964
FPC Holdings, Inc. 1st Lien Initial Term Loan	5.25%	11/19/2019		19,164		19,091,861
FPC Holdings, Inc. 2nd Lien Initial Term Loan	9.25%	5/19/2020		12,805		12,420,850
Gardner Denver, Inc. Initial Dollar Term Loan	4.25%	7/30/2020		13,406		13,128,961
Hillman Group, Inc. (The) Initial Term Loan	4.50%	6/30/2021		16,983		17,051,935
Milacron LLC Term Loan	4.50%	9/28/2020		21,550		21,684,795
Road Infrastructure Investment LLC 2nd Lien 2014 Term Loan	7.75%	9/21/2021		6,895		6,567,487
TI Group Automotive Systems LLC Term Loan Facility	4.25%	7/2/2021		21,512		21,579,664
Unifrax Holding Co. New Dollar Term Loan B	4.25%	11/28/2018		12,747		12,750,022
Unifrax Holding Co. New EUR Term Loan(a)	5.25%	11/28/2018	EUR	5,535		6,144,470
Total						221,840,599
Media/Telecommunications 10.70%
Acquisitions Cogeco Cable II LP 2013 Term Loan B	3.25%	11/30/2019	$	16,816		16,813,948
Affinion Group, Inc. Tranche B Term Loan	6.75%	4/30/2018		28,258		27,332,005
Altice Financing SA Term Loan (Luxembourg)(b)	5.50%	7/2/2019		12,708		12,877,287
CBS Outdoor Americas Capital LLC Term Loan	3.00%	1/31/2021		11,229		11,229,786
Cequel Communications LLC Term Loan	3.50%	2/14/2019		13,536		13,586,263

28 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Media/Telecommunications (continued)
Charter Communications Operating LLC Term Loan E	3.00%	7/1/2020	$	30,039	$	29,890,612
Charter Communications Operating LLC Term Loan F	3.00%	1/3/2021		13,707		13,646,769
Checkout Holding Corp. 2nd Lien Initial Term Loan	7.75%	4/11/2022		7,470		5,863,950
CommScope, Inc. Incremental Term Loan B	–(f)	5/27/2022		14,698		14,743,931
Consolidated Communications, Inc. Initial Term Loan	4.25%	12/23/2020		16,675		16,748,156
Crown Castle Operating Co. Extended Incremental Tranche B2 Term Loan	3.00%	1/31/2021		20,633		20,630,931
CSC Holdings LLC Term Loan B	2.685%	4/17/2020		30,187		30,088,788
Delta 2 (Lux) S.A.R.L. 2nd Lien Facility Term Loan (Luxembourg)(b)	7.75%	7/29/2022		17,591		17,684,094
Delta 2 (Lux) S.A.R.L. Facility B3 Term Loan (Luxembourg)(b)	4.75%	7/30/2021		44,568		44,655,652
Fairpoint Communications, Inc. Term Loan	7.50%	2/14/2019		7,087		7,162,666
Fibertech Networks LLC Term Loan	4.00%	12/18/2019		7,351		7,355,859
Getty Images, Inc. Initial Term Loan	4.75%	10/18/2019		10,359		8,570,698
iHeart Communications, Inc. Tranche D Term Loan	6.935%	1/30/2019		41,748		39,146,478
Level 3 Financing, Inc. Tranche B 2020 Term Loan	4.00%	1/15/2020		41,612		41,664,223
Level 3 Financing, Inc. Tranche B-III 2019 Term Loan	4.00%	8/1/2019		9,080		9,089,943
Lions Gate Entertainment Corp. 2nd Lien Term Loan (Canada)(b)	5.00%	3/17/2022		21,288		21,367,830
LTS Buyer LLC 1st Lien Term Loan B	4.00%	4/13/2020		17,280		17,306,071
MCC Iowa LLC Tranche H Term Loan	3.25%	1/29/2021		4,888		4,876,267
Mediacom Illinois LLC Tranche E Term Loan	3.15%	10/23/2017		23,223		23,228,525
Metro-Goldwyn-Mayer, Inc. 2nd Lien Term Loan	5.125%	6/26/2020		10,605		10,737,562
Newsday LLC Term Loan	3.685%	10/12/2016		13,295		13,295,385
Numericable U.S. LLC Dollar Denominated Tranche B1 Term Loan	4.50%	5/21/2020		21,518		21,620,105
Numericable U.S. LLC Dollar Denominated Tranche B2 Term Loan	4.50%	5/21/2020		18,635		18,723,872
Regal Cinemas Corp. Term Loan	3.75%	4/1/2022		8,817		8,865,229
SBA Senior Finance II LLC Incremental Tranche B1 Term Loan	3.25%	3/24/2021		11,990		11,956,887
Townsquare Media, Inc. Initial Term Loan	4.25%	4/1/2022		8,328		8,395,707
Tribune Co. Initial Term Loan	4.00%	12/27/2020		35,448		35,537,110
Univision Communications, Inc. Replacement 1st Lien Term Loan	4.00%	3/1/2020		47,925		47,916,632

See Notes to Financial Statements. 29

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Media/Telecommunications (continued)
Virgin Media Investment Holdings Ltd. Facility Term Loan B	3.50%	6/7/2020	$	18,028	$	17,638,245
WaveDivision Holdings LLC Initial Term Loan	4.00%	10/15/2019		20,349		20,412,937
WMG Acquisitions Corp. Tranche B Refinancing Term Loan	3.75%	7/1/2020		1,710		1,698,521
Zayo Group LLC 2021 Term Loan	3.75%	5/6/2021		35,439		35,446,539
Ziggo B.V. US B1 Facility Term Loan (Netherlands)(b)	3.50%	1/15/2022		11,884		11,853,150
Ziggo B.V. US B2 Facility Term Loan (Netherlands)(b)	3.50%	1/15/2022		7,669		7,649,073
Ziggo B.V. US B3 Facility Term Loan (Netherlands)(b)	3.50%	1/15/2022		12,593		12,560,662
Total						739,868,348
Metals/Minerals 1.47%
American Rock Salt Co. LLC 1st Lien Closing Date Term Loan	4.75%	5/20/2021		22,849		22,891,341
Dynacast International LLC 1st Lien Term Loan B1	5.25%	1/28/2022		11,760		11,877,600
Dynacast International LLC 2nd Lien Initial Term Loan	9.50%	1/30/2023		5,691		5,776,276
FMG Resources Pty Ltd. Term Loan (Australia)(b)	3.75%	6/30/2019		47,327		42,973,546
Novelis, Inc. Term Loan B	4.00%	6/2/2022		18,133		18,138,623
Total						101,657,386
Retail 6.14%
Bass Pro Group LLC New Term Loan	4.00%	6/5/2020		12,591		12,559,522
BJ’s Wholesale Club, Inc. New 2013 1st Lien Replacement Term Loan	4.50%	9/26/2019		19,288		19,381,116
Burlington Coat Factory Warehouse Corp. Term Loan B3	4.25%	8/13/2021		19,293		19,391,204
Container Store, Inc. (The) Term Loan Facility	4.25%	4/6/2019		5,273		5,229,334
Dollar Tree, Inc. Initial Term Loan B	4.25%	3/9/2022		39,170		39,607,921
Gymboree Corp. (The) Term Loan	5.00%	2/23/2018		4,945		3,754,343
Hudson’s Bay Co. 1st Lien Initial Term Loan (Canada)(b)	4.75%	11/4/2020		6,097		6,131,581
J Crew Group, Inc. Initial Term Loan	4.00%	3/5/2021		11,296		10,316,205
J.C. Penney Corp., Inc. Term Loan	5.00%	6/20/2019		19,646		19,632,092
Jo-Ann Stores, Inc. Term Loan B	4.00%	3/16/2018		11,325		11,233,531
Kate Spade & Co. Initial Term Loan	4.00%	4/9/2021		15,891		15,878,816
Lands’ End, Inc. Initial Term Loan B	4.25%	4/4/2021		18,129		17,862,776
Leslie’s Poolmart, Inc. Additional Tranche B Term Loan	4.25%	10/16/2019		19,635		19,694,551
Men’s Wearhouse, Inc. (The) Tranche B Term Loan	4.50%	6/18/2021		7,301		7,345,572
Men’s Wearhouse, Inc. (The) Tranche B1 Term Loan	5.00%	6/18/2021		7,838		7,919,672

30 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Retail (continued)
Michaels Stores, Inc. Term Loan B	3.75%	1/28/2020	$	34,947	$	35,049,244
National Vision, Inc. 1st Lien Initial Term Loan	4.00%	3/12/2021		19,597		19,425,526
Neiman Marcus Group, Inc. (The) Term Loan	4.25%	10/25/2020		20,794		20,832,636
Party City Holdings, Inc. 2014 Replacement Term Loan	4.00%	7/27/2019		19,368		19,429,631
PETCO Animal Supplies, Inc. New Term Loan	4.00%	11/24/2017		19,089		19,163,260
PetSmart, Inc. Tranche B1 Term Loan	4.25%	3/11/2022		47,750		47,960,878
Rue21, Inc. Term Loan B	5.625%	10/9/2020		9,586		8,908,989
Staples, Inc. 1st Lien Term Loan	–(f)	4/23/2021		24,870		24,924,465
Toys ‘R’ US Property Co. I LLC Initial Term Loan	6.00%	8/21/2019		13,389		12,790,742
Total						424,423,607
Service 10.84%
Acosta Holdco, Inc. Tranche B-1 Term Loan	4.25%	9/26/2021		10,750		10,796,787
ADS Waste Holdings, Inc. Tranche B2 Initial Term Loan	3.75%	10/9/2019		19,383		19,325,862
Advantage Sales & Marketing, Inc. 1st Lien Initial Term Loan	4.25%	7/23/2021		39,200		39,251,921
Advantage Sales & Marketing, Inc. 2nd Lien Term Loan	7.50%	7/25/2022		8,653		8,758,493
Aramark Corp. US Term Loan F	3.25%	2/24/2021		29,190		29,230,212
Asurion LLC 2nd Lien Term Loan	8.50%	3/3/2021		7,406		7,602,273
Asurion LLC Incremental Tranche B1 Term Loan	5.00%	5/24/2019		29,450		29,608,403
Asurion LLC Incremental Tranche B2 Term Loan	4.25%	7/8/2020		14,409		14,456,495
Atlantic Aviation FBO, Inc. 2013 Term Loan	3.25%	6/1/2020		18,063		18,036,995
AVSC Holding Corp. 1st Lien Initial Term Loan	4.50%	1/24/2021		26,724		26,824,393
AVSC Holding Corp. 2nd Lien Initial Term Loan	9.25%	1/24/2022		8,000		8,166,800
Brand Energy & Infrastructure Services, Inc. Initial Term Loan	4.75%	11/26/2020		16,796		16,757,178
Brickman Group Ltd. LLC (The) 2nd Lien Initial Term Loan	7.50%	12/17/2021		8,315		8,407,260
Ceridian HCM Holding, Inc. Initial Term Loan	4.50%	9/15/2020		24,284		24,269,081
CompuCom Systems, Inc. Term Loan	4.25%	5/11/2020		10,549		9,896,557
DigitalGlobe, Inc. Term Loan	3.75%	1/31/2020		13,281		13,326,582
Evergreen Skills Lux S.A.R.L. 1st Lien Initial Term Loan (Luxembourg)(b)	5.75%	4/28/2021		13,421		13,253,546
Evergreen Skills Lux S.A.R.L. 2nd Lien Initial Term Loan (Luxembourg)(b)	9.25%	4/28/2022		4,795		4,573,255
First Data Corp. 2017 2nd New Dollar Term Loan	3.685%	3/24/2017		14,698		14,701,968
First Data Corp. 2018 2nd New Term Loan B	3.685%	9/24/2018		8,000		8,007,800

See Notes to Financial Statements. 31

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Service (continued)
First Data Corp. 2018 New Dollar Term Loan	3.685%	3/23/2018	$	89,934	$	89,990,418
Hertz Corp. (The) Letter of Credit Term Loan	1.00%	3/11/2018		21,939		21,761,753
Hertz Corp. (The) Tranche B2 Term Loan	3.50%	3/11/2018		2,845		2,840,976
IG Investments Holdings LLC Extended Tranche B Term Loan	6.00%	10/31/2021		35,444		35,591,796
InfoGroup, Inc. Term Loan B	7.50%	5/26/2018		17,159		16,687,594
Interactive Data Corp. Term Loan	4.75%	5/2/2021		14,658		14,727,942
iQor US, Inc. 1st Lien Term Loan B	6.00%	4/1/2021		16,943		16,074,368
Kasima LLC Term Loan	3.25%	5/17/2021		37,570		37,569,853
Landmark Aviation FBO Canada, Inc. Canadian Term Loan	4.75%	10/25/2019		379		381,733
LM U.S. Member LLC 1st Lien Initial Term Loan	4.75%	10/25/2019		9,553		9,622,304
LM U.S. Member LLC 2nd Lien Initial Term Loan	8.25%	1/25/2021		8,704		8,772,773
MH Sub I LLC 1st Lien Initial Term Loan	5.00%	7/8/2021		19,478		19,542,102
MH Sub I LLC 2nd Lien Initial Term Loan	8.50%	7/8/2022		9,722		9,630,856
Neff Rental LLC 2nd Lien Closing Date Term Loan	7.25%	6/9/2021		3,920		3,895,500
Nord Anglia Education Finance LLC Initial Term Loan	4.50%	3/31/2021		17,072		17,120,309
PODS LLC 1st Lien Initial Term Loan	5.25%	2/2/2022		4,115		4,171,581
PODS LLC 2nd Lien Initial Term Loan	9.25%	2/2/2023		5,929		6,036,463
Sedgwick Claims Management Services, Inc. 2nd Lien Term Loan	6.75%	2/28/2022		7,840		7,754,270
SRA International, Inc. Term Loan	6.50%	7/20/2018		23,170		23,271,424
US Airways, Inc. Consenting Tranche B1 Term Loan	3.50%	5/23/2019		21,662		21,671,481
Vantiv LLC Term Loan B	3.75%	6/13/2021		23,254		23,381,179
WASH Multifamily Laundry Systems LLC 1st Lien Initial Canadian Term Loan	4.25%	5/13/2022		730		734,256
WASH Multifamily Laundry Systems LLC 1st Lien Initial US Term Loan	4.25%	5/13/2022		4,169		4,192,301
Waste Industries USA, Inc. Initial Term Loan	4.25%	2/27/2020		3,925		3,953,613
WP Mustang Holdings LLC 1st Lien Term Loan	5.50%	5/29/2021		24,813		24,897,731
Total						749,526,437
Transportation 1.92%
FCA US LLC Term Loan B	3.50%	5/24/2017		39,107		39,202,294
FCA US LLC Tranche B Term Loan	3.25%	12/31/2018		49,681		49,777,974
Navistar Financial Corp. 2011 Term Loan	3.188%	12/2/2016		12,553		12,364,825
Velocity Pooling Vehicle LLC Original 1st Lien Term Loan	5.00%	5/14/2021		13,145		11,633,033

32 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Transportation (continued)
YRC Worldwide, Inc. Initial Term Loan	8.25%		2/13/2019	$	20,267	$	20,013,448
Total							132,991,574
Utility 4.77%
Astoria Energy LLC Advance Term Loan B	5.00%		12/24/2021		19,262		19,514,821
Calpine Construction Finance Co. LP Term Loan B1	3.00%		5/3/2020		2,356		2,328,436
Calpine Construction Finance Co. LP Term Loan B2	3.25%		1/31/2022		9,705		9,637,075
Calpine Corp. Delayed Term Loan	4.00%		10/30/2020		18,763		18,802,839
Calpine Corp. Term Loan	4.00%		10/9/2019		20,490		20,545,034
Calpine Corp. Term Loan B	4.00%		5/27/2022		11,759		11,751,004
Dynegy, Inc. Tranche B2 Term Loan	4.00%		4/23/2020		16,215		16,324,907
Energy Future Intermediate Holding Co. LLC Term Loan	4.25%		6/19/2016		17,962		18,055,397
Essential Power LLC Term Loan	4.75%		8/8/2019		17,194		17,287,598
La Frontera Generation LLC Term Loan	4.50%		9/30/2020		19,480		19,547,034
Moxie Liberty LLC Advance Construction Term Loan B1	7.50%		8/21/2020		26,525		26,591,313
Panda Sherman Power LLC Advance Construction Term Loan	9.00%		9/14/2018		27,800		27,625,895
Panda Temple Power II LLC Advance Construction Term Loan	7.25%		4/3/2019		28,975		27,960,875
Penn Products Terminals LLC Tranche B Term Loan	4.75%		4/13/2022		15,920		16,079,200
Texas Competitive Electric Holdings Co. LLC 2016 Extended 2011 Revolving Term Loan	4.668%		10/10/2016		19,594		11,862,600
Texas Competitive Electric Holdings Co. LLC 2017 Extended Term Loan(d)	4.668%		10/10/2017		43,627		26,607,605
Texas Competitive Electric Holdings Co. LLC Non-Extending 2014 Term Loan(d)	4.668%		8/21/2015		65,095		39,274,092
Total							329,795,725
Total Floating Rate Loans (cost $6,233,298,162)							6,180,919,071
FOREIGN BONDS(a) 0.44%
Italy 0.03%
Wind Acquisition Finance SA†	4.146%	#	7/15/2020	EUR	2,000		2,225,156
Netherlands 0.12%
United Group BV†	7.875%		11/15/2020	EUR	1,070		1,259,489
United Group BV†	7.875%		11/15/2020	EUR	6,000		7,081,399
Total							8,340,888

See Notes to Financial Statements. 33

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
United Kingdom 0.29%
Care UK Health & Social Care plc†	5.572%	#	7/15/2019	GBP	5,000	$	7,431,845
Premier Foods Finance plc†	5.564%	#	3/16/2020	GBP	8,500		12,309,351
Total							19,741,196
Total Foreign Bonds (cost $34,396,806)							30,307,240
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITY 0.06%
Motel 6 Trust 2015-MTL6 E† (cost $3,960,338)	5.279%		2/5/2030	$	4,000		4,022,480
Total Long-Term Investments (cost $6,648,647,837)							6,585,135,175
SHORT-TERM INVESTMENTS 6.72%
FLOATING RATE LOANS(e) 0.06%
Transportation
UC Holdings, Inc. Incremental Exit Term Loan	–(f)		12/14/2015		1,549		1,564,430
UC Holdings, Inc. Initial Term Loan	10.00%		12/14/2015		3,024		3,054,249
Total Floating Rate Loans (cost $4,572,949)							4,618,679
REPURCHASE AGREEMENT 6.66%
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $96,000,000 of U.S. Treasury Bond at 8.50% due 2/15/2020; $32,000,000 of U.S. Treasury Note at 1.375% due 1/31/2020; $131,075,000 of U.S. Treasury Note at 1.375% due 2/29/2020; $65,640,000 of U.S. Treasury Note at 1.50% due 2/28/2019 and $109,000,000 of U.S. Treasury Note at 1.625% due 8/31/2019; value: $469,449,641; proceeds: $460,242,030 (cost $460,242,030)					460,242		460,242,030
Total Short-Term Investments (cost $464,814,979)							464,860,709
Total Investments in Securities 101.99% (cost $7,113,462,816)							7,049,995,884
Liabilities in Excess of Cash, Foreign Cash and Other Assets(g) (1.99%)							(137,772,671	)
Net Assets 100.00%						$	6,912,223,213

AUD	Australian dollar.
EUR	euro.
GBP	British pound.
NOK	Norwegian krone.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
#	Variable rate security. The interest rate represents the rate in effect at May 31, 2015.
*	Non-income producing security.
(a)	Investment in non-U.S. dollar denominated securities.
(b)	Foreign security traded in U.S. dollars.

34 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

(c)	Securities purchased on a when-issued basis (See Note 2(i)).
(d)	Defaulted security.
(e)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2015.
(f)	Interest rate to be determined.
(g)	Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency contracts and futures contracts as follows:

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date	U.S. $ Current Value	Unrealized Appreciation
British pound	Buy	Morgan Stanley	7/28/2015	650,000	$ 988,744	$ 993,059		$	4,315
Australian dollar	Sell	UBS AG	6/29/2015	1,175,000	915,969	897,055	18,914
euro	Sell	Morgan Stanley	8/13/2015	32,500,000	36,255,222	35,730,608			524,614
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts								$	547,843

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date	U.S. $ Current Value	Unrealized Depreciation
euro	Buy	Morgan Stanley	8/13/2015	7,500,000	$ 8,246,201	$ 8,245,525		$	(676)
euro	Buy	Morgan Stanley	8/13/2015	309,000	349,866	339,716	(10,150)
British pound	Sell	Morgan Stanley	7/28/2015	13,500,000	20,465,744	20,625,080	(159,336)
euro	Sell	Morgan Stanley	8/13/2015	41,000,000	44,077,854	45,075,537	(997,683)
euro	Sell	UBS AG	8/13/2015	1,175,000	1,279,752	1,291,799			(12,047)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts								$	(1,179,892)

Open Futures Contracts at May 31, 2015:

Type	Expiration	Contracts	Position	Fair Value		Unrealized Appreciation
U.S. 5-Year Treasury Note	September 2015	302	Long	$ 36,157,422		$	110,359
						Unrealized
Type	Expiration	Contracts	Position	Fair Value		Depreciation
U.S. 10-Year Treasury Note	September 2015	674	Short	$(86,061,375	)	$	(301,326)

See Notes to Financial Statements. 35

Schedule of Investments (unaudited)(continued)

FLOATING RATE FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1			Level 2			Level 3		Total
Asset-Backed Security	$	–		$	2,629,200		$	–	$	2,629,200
Common Stocks
Metals/Minerals(3)		–			821,207			–		821,207
Service		360,171			–			–		360,171
Corporate Bonds
Metal/Minerals		–			17,073,850			5		17,073,855
Remaining Industries		–			349,001,951			–		349,001,951
Floating Rate Loans(4)
Aerospace		–			197,914,201			–		197,914,201
Chemicals		–			204,229,187			–		204,229,187
Consumer Durables		–			16,777,662			–		16,777,662
Consumer Non-Durables		–			51,910,533			22,749,308		74,659,841
Energy		–			219,950,516			6,434,681		226,385,197
Financial		–			228,769,683			–		228,769,683
Food & Drug		–			191,808,373			–		191,808,373
Food/Tobacco		–			216,723,997			–		216,723,997
Forest Products		–			196,222,550			–		196,222,550
Gaming/Leisure		–			485,053,309			–		485,053,309
Healthcare		–			790,047,776			–		790,047,776
Housing		–			140,462,506			2,553,024		143,015,530
Information Technology		–			509,208,089			–		509,208,089
Manufacturing		–			218,604,993			3,235,606		221,840,599
Media/Telecommunications		–			739,868,348			–		739,868,348
Metals/Minerals		–			95,881,110			5,776,276		101,657,386
Retail		–			424,423,607			–		424,423,607
Service		–			740,625,381			8,901,056		749,526,437
Transportation		–			120,626,749			16,983,504		137,610,253
Utility		–			287,125,212			42,670,513		329,795,725
Foreign Bonds		–			30,307,240			–		30,307,240
Non-Agency Commercial Mortgage-Backed Security		–			4,022,480			–		4,022,480
Repurchase Agreement		–			460,242,030			–		460,242,030
Total	$	360,171		$	6,940,331,740		$	109,303,973	$	7,049,995,884
Other Financial Instruments
Forward Foreign Currency Exchange Contracts
Assets	$	–		$	547,843		$	–	$	547,843
Liabilities		–			(1,179,892	)		–		(1,179,892	)
Futures Contracts
Assets		110,359			–			–		110,359
Liabilities		(301,326	)		–			–		(301,326	)
Total	$	(190,967	)	$	(632,049	)	$	–	$	(823,016	)

(1)	Refer to Note 2(r) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.
(3)	As of May 31, 2015, Mirabela Nickel Ltd. was categorized as Level 2 due to limited market activity resulting in observable input pricing. During the period ended May 31, 2015, $256,324 was transferred from Level 1 to Level 2.
(4)	Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.

36 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

FLOATING RATE FUND May 31, 2015

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

Investment Type	Corporate Bonds			Floating Rate Loans
Balance as of December 1, 2014	$	50,399		$	279,665,158
Accrued discounts/premiums		–			251,421
Realized gain (loss)		(69,470	)		(1,149,825	)
Change in unrealized appreciation/depreciation		52,943			1,621,121
Purchases		–			44,539,210
Sales		(33,867	)		(116,703,887	)
Net transfers in or out of Level 3		–			(98,919,230	)
Balance as of May 31, 2015	$	5		$	109,303,968

See Notes to Financial Statements. 37

Schedule of Investments (unaudited)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
LONG-TERM INVESTMENTS 98.59%
ASSET-BACKED SECURITIES 0.12%
Other
Gramercy Real Estate CDO Ltd. 2007-1A A1†		0.554%	#	8/15/2056	$	3,836	$	3,625,437
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2†		0.54%	#	2/1/2041		2,000		1,878,000
Total Asset-Backed Securities (cost $5,033,283)								5,503,437
					Shares
					(000)
COMMON STOCKS 7.51%
Air Transportation 0.10%
Echo Global Logistics, Inc.*						142		4,583,365
Banking 0.10%
Western Alliance Bancorp*						137		4,297,176
Beverages 0.10%
Monster Beverage Corp.*						34		4,388,105
Building & Construction 0.11%
Dycom Industries, Inc.*						82		4,747,241
Building Materials 0.40%
Beacon Roofing Supply, Inc.*						142		4,455,378
Caesarstone Sdot-Yam Ltd. (Israel)(a)						73		4,523,369
HD Supply Holdings, Inc.*						134		4,338,695
Summit Materials, Inc. Class A*						175		4,812,033
Total								18,129,475
Chemicals 0.10%
Axalta Coating Systems Ltd.*						129		4,417,805
Department Stores 0.05%
Hudson’s Bay Co.(b)						CAD 111		2,278,168
Electric: Generation 0.07%
Longview Power LLC						281		3,370,572
Electronics 0.42%
Altera Corp.						98		4,794,578
Avago Technologies Ltd. (Singapore)(a)						31		4,661,540
Freescale Semiconductor Ltd.*						105		4,740,262

38 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

	Shares		Fair
Investments	(000)		Value
Electronics (continued)
NXP Semiconductors NV (Netherlands)*(a)		42	$	4,680,825
Total				18,877,205
Energy: Exploration & Production 0.45%
Antero Resources Corp.*		109		4,350,167
Memorial Resource Development Corp.*		349		6,608,894
Parsley Energy, Inc. Class A*		277		4,838,678
Seven Generations Energy Ltd. Class A*(b)		CAD 334		4,487,420
Total				20,285,159
Food & Drug Retailers 0.25%
Casey’s General Stores, Inc.		49		4,235,690
Rite Aid Corp.*		782		6,820,392
Total				11,056,082
Food: Wholesale 0.20%
Maple Leaf Foods, Inc.(b)		CAD 242		4,592,999
WhiteWave Foods Co. (The)*		95		4,583,022
Total				9,176,021
Health Facilities 0.26%
Acadia Healthcare Co., Inc.*		97		7,178,457
VCA, Inc.*		87		4,584,847
Total				11,763,304
Health Services 0.11%
Bluebird Bio, Inc.*		26		5,002,715
Hotels 0.20%
Hilton Worldwide Holdings, Inc.*		152		4,407,365
La Quinta Holdings, Inc.*		181		4,489,989
Total				8,897,354
Investments & Miscellaneous Financial Services 0.02%
Penson Technologies Class A Units		4,881		1,116,000
Machinery 0.10%
Middleby Corp. (The)*		42		4,577,466
Media: Content 0.30%
AMC Networks, Inc. Class A*		88		6,891,164
Netflix, Inc.*		11		6,751,705
Total				13,642,869

See Notes to Financial Statements. 39

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

	Shares		Fair
Investments	(000)		Value
Medical Products 0.10%
Edwards Lifesciences Corp.*		34	$	4,407,356
Metals/Mining (Excluding Steel) 0.02%
Mirabela Nickel Ltd.*(b)		AUD 8,607		821,207
Oil Refining & Marketing 0.10%
Tesoro Corp.		49		4,357,386
Personal & Household Products 0.06%
Brunswick Corp.		54		2,742,022
Pharmaceuticals 0.50%
BioMarin Pharmaceutical, Inc.*		36		4,540,235
Diplomat Pharmacy, Inc.*		118		4,543,230
Intercept Pharmaceuticals, Inc.*		17		4,382,719
Puma Biotechnology, Inc.*		22		4,395,084
Valeant Pharmaceuticals International, Inc.*		19		4,505,351
Total				22,366,619
Real Estate Investment Trusts 0.20%
InfraREIT, Inc.		149		4,528,426
Realogy Holdings Corp.*		94		4,411,844
Total				8,940,270
Recreation & Travel 0.10%
Six Flags Entertainment Corp.		94		4,597,091
Restaurants 1.04%
Bojangles’, Inc.*		198		5,450,776
Darden Restaurants, Inc.		71		4,679,622
Domino’s Pizza, Inc.		40		4,343,901
Habit Restaurants, Inc. (The) Class A*		130		4,572,310
Popeyes Louisiana Kitchen, Inc.*		79		4,374,060
Restaurant Brands International LP Unit(b)		CAD 121		4,439,622
Shake Shack, Inc. Class A*		92		7,588,957
Starbucks Corp.		90		4,692,819
Yum! Brands, Inc.		73		6,556,674
Total				46,698,741
Software/services 0.66%
Akamai Technologies, Inc.*		60		4,549,582
Ellie Mae, Inc.*		71		4,462,257

40 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

				Shares		Fair
Investments				(000)		Value
Software/services (continued)
FireEye, Inc.*					107	$	4,973,257
GoDaddy, Inc. Class A*					93		2,516,608
GrubHub, Inc.*					111		4,488,987
Mobileye NV (Israel)*(a)					95		4,457,676
Splunk, Inc.*					66		4,448,246
Total							29,896,613
Specialty Retail 0.77%
Cracker Barrel Old Country Store, Inc.					48		6,713,574
Lithia Motors, Inc. Class A					41		4,410,436
lululemon athletica, Inc. (Canada)*(a)					70		4,213,342
MarineMax, Inc.*					28		673,635
Moncler SpA(b)				EUR	277		5,284,741
Penske Automotive Group, Inc.					86		4,434,073
Restoration Hardware Holdings, Inc.*					51		4,613,400
Skechers U.S.A., Inc. Class A*					42		4,461,256
Total							34,804,457
Support: Services 0.10%
Sotheby’s					100		4,493,670
Technology Hardware & Equipment 0.21%
Cavium, Inc.*					67		4,722,671
CommScope Holding Co., Inc.*					148		4,624,070
Total							9,346,741
Telecommunications: Wireless 0.21%
Qorvo, Inc.*					55		4,543,388
T-Mobile US, Inc.*					127		4,952,612
Total							9,496,000
Theaters & Entertainment 0.10%
Live Nation Entertainment, Inc.*					163		4,665,775
Total Common Stocks (cost $308,624,554)							338,240,030
				Principal
	Interest		Maturity	Amount
	Rate		Date	(000)
CONVERTIBLE BONDS 1.53%
Automakers 0.15%
Tesla Motors, Inc.	1.25	%	3/1/2021	$	6,910		6,655,194

See Notes to Financial Statements. 41

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount			Fair
Investments		Rate		Date		(000	)		Value
Building & Construction 0.10%
Lennar Corp.†		3.25	%	11/15/2021	$	2,208		$	4,440,840
Health Services 0.10%
Cepheid, Inc.		1.25	%	2/1/2021		4,100			4,499,750
Integrated Energy 0.09%
SunPower Corp.		0.75	%	6/1/2018		3,160			4,287,725
Oil Field Equipment & Services 0.10%
Helix Energy Solutions Group, Inc.		3.25	%	3/15/2032		4,275			4,373,859
Pharmaceuticals 0.50%
Clovis Oncology, Inc.†		2.50	%	9/15/2021		2,726			4,530,271
Isis Pharmaceuticals, Inc.†		1.00	%	11/15/2021		5,636			6,812,515
Medivation, Inc.		2.625	%	4/1/2017		1,785			4,591,913
Regeneron Pharmaceuticals, Inc.		1.875	%	10/1/2016		1,093			6,662,518
Total									22,597,217
Software/Services 0.39%
ServiceNow, Inc.		Zero Coupon		11/1/2018		3,640			4,393,025
Twitter, Inc.†		1.00	%	9/15/2021		9,698			8,800,935
Vipshop Holdings Ltd. (China)(a)		1.50	%	3/15/2019		3,057			4,243,498
Total									17,437,458
Specialty Retail 0.10%
Restoration Hardware Holdings, Inc.†		Zero Coupon		6/15/2019		4,309			4,397,873
Total Convertible Bonds (cost $64,034,543)									68,689,916
FLOATING RATE LOANS(c) 5.70%
Aerospace/Defense 0.09%
Doncasters U.S. Finance LLC 2nd Lien Term Loan		9.50	%	10/9/2020		4,220			4,224,895
Auto Parts & Equipment 0.15%
Velocity Pooling Vehicle LLC Original
1st Lien Term Loan		5.00	%	5/14/2021		7,754			6,862,346
Chemicals 0.19%
American Pacific Corp. Term Loan		7.00	%	2/27/2019		8,327			8,424,001
Diversified Capital Goods 0.11%
Dynacast International LLC 2nd Lien
Initial Term Loan		9.50	%	1/30/2023		5,000			5,075,000

42 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments		Rate		Date		(000)		Value
Electric: Generation 0.72%
Astoria Energy LLC Advance Term Loan B		5.00	%	12/24/2021	$	4,308	$	4,364,108
Longview Power LLC 2014 Term Loan(e)		–	(d)	2/28/2014		925		612,813
Longview Power LLC Advance Term Loan B		7.00	%	4/13/2021		6,575		6,644,892
Moxie Liberty LLC Advance Construction Term Loan B1		7.50	%	8/21/2020		6,450		6,466,125
Panda Sherman Power LLC Advance Construction Term Loan		9.00	%	9/14/2018		7,955		7,905,300
Panda Temple Power II LLC Advance Construction Term Loan		7.25	%	4/3/2019		6,685		6,451,025
Total								32,444,263
Energy: Exploration & Production 0.90%
Callon Petroleum Co. 2nd Lien Term Loan		8.50	%	10/8/2021		4,650		4,665,485
Chief Exploration & Development LLC 2nd Lien Term Loan		7.50	%	5/12/2021		11,390		10,924,889
Fieldwood Energy LLC 2nd Lien Closing Date Term Loan		8.375	%	9/30/2020		13,850		11,417,594
Jonah Energy LLC 2nd Lien Initial Term Loan		7.50	%	5/12/2021		3,260		3,101,075
Templar Energy LLC 2nd Lien New Term Loan		8.50	%	11/25/2020		13,365		10,361,216
Total								40,470,259
Food: Wholesale 0.10%
Candy Intermediate Holdings, Inc. Initial Term Loan		7.50	%	6/18/2018		4,339		4,349,718
Gaming 0.43%
Cannery Casino Resorts LLC 2nd Lien Term Loan		10.00	%	10/2/2019		12,301		11,291,334
Yonkers Racing Corp. 2nd Lien Initial Term Loan		8.75	%	8/20/2020		8,290		8,134,562
Total								19,425,896
Gas Distribution 0.10%
Penn Products Terminals LLC Tranche B Term Loan		4.75	%	4/13/2022		4,267		4,309,670
Health Services 0.06%
Millennium Health LLC Tranche B Term Loan		5.25	%	4/16/2021		3,827		2,688,468
Investments & Miscellaneous Financial Services 0.07%
PGX Holdings, Inc. 1st Lien Initial Term Loan		–	(d)	9/29/2020		2,981		3,003,491
Machinery 0.25%
Alison US LLC 2nd Lien Initial Term Loan		9.50	%	8/29/2022		6,500		5,622,500
Alliance Laundry Systems LLC 2nd Lien Initial
Term Loan		9.50	%	12/10/2019		5,768		5,818,252
Total								11,440,752

See Notes to Financial Statements. 43

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments		Rate		Date		(000)		Value
Media: Content 0.20%
Lions Gate Entertainment Corp. 2nd Lien
Term Loan (Canada)(a)		5.00	%	3/17/2022	$	8,966	$	8,999,623
Media: Diversified 0.14%
MH Sub I LLC 2nd Lien Initial Term Loan		8.50	%	7/8/2022		6,300		6,240,938
Metals/Mining (Excluding Steel) 0.10%
American Rock Salt Co. LLC 2nd Lien Delayed Draw Term Loan		8.00	%	5/20/2022		4,340		4,427,711
Oil Field Equipment & Services 0.15%
C&J Energy Services, Inc. Tranche B1 Initial Term Loan		6.50	%	3/24/2020		7,180		6,782,120
Packaging 0.09%
Berlin Packaging LLC 2nd Lien Initial Term Loan		7.75	%	9/30/2022		4,200		4,257,750
Personal & Household Products 0.11%
Britax US Holdings, Inc. Initial Dollar Term Loan		4.50	%	10/15/2020		6,203		4,993,376
Recreation & Travel 0.21%
Delta 2 (Lux) S.A.R.L. 2nd Lien Facility Term Loan (Luxembourg)(a)		7.75	%	7/29/2022		5,089		5,116,048
Equinox Holdings, Inc. 2nd Lien Initial Term Loan		9.75	%	7/31/2020		4,245		4,324,594
Total								9,440,642
Software/Services 0.42%
AF Borrower LLC 2nd Lien Initial Term Loan		10.00	%	1/30/2023		8,640		8,654,429
EZE Software Group LLC 2nd Lien New Term Loan		7.25	%	4/5/2021		5,610		5,497,395
ION Trading Technologies S.A.R.L. 2nd Lien
Term Loan (Luxembourg)(a)		7.25	%	6/10/2022		4,743		4,723,245
Total								18,875,069
Specialty Retail 0.35%
Gymboree Corp. (The) Term Loan		5.00	%	2/23/2018		6,524		4,953,151
Men’s Wearhouse, Inc. (The) Tranche B1 Term Loan		5.00	%	6/18/2021		4,286		4,330,660
Rue21, Inc. Term Loan B		5.625	%	10/9/2020		7,045		6,547,447
Total								15,831,258
Support: Services 0.60%
Advantage Sales & Marketing, Inc. 2nd
Lien Term Loan		7.50	%	7/25/2022		4,950		5,010,637
AVSC Holding Corp. 2nd Lien Initial Term Loan		9.25	%	1/24/2022		1,850		1,888,573

44 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

						Principal
	Interest			Maturity		Amount		Fair
Investments		Rate		Date			(000)		Value
Support: Services (continued)
InfoGroup, Inc. Term Loan B		7.50	%	5/26/2018		$	1,216	$	1,182,653
LM U.S. Member LLC 2nd Lien Initial Term Loan		8.25	%	1/25/2021			4,305		4,339,096
PODS LLC 1st Lien Initial Term Loan		5.25	%	2/2/2022			2,625		2,661,094
PODS LLC 2nd Lien Initial Term Loan		9.25	%	2/2/2023			5,465		5,564,053
WP Mustang Holdings LLC 2nd Lien Term Loan		8.50	%	5/29/2022			6,617		6,598,406
Total									27,244,512
Technology Hardware & Equipment 0.16%
TTM Technologies, Inc. Term Loan B		6.00	%	5/31/2021			7,068		7,035,629
Total Floating Rate Loans (cost $258,560,711)									256,847,387
FOREIGN BONDS(b) 2.84%
France 0.12%
SMCP SAS†		8.875	%	6/15/2020		EUR	4,475		5,357,479
Germany 0.14%
CeramTec Group GmbH†		8.25	%	8/15/2021		EUR	5,300		6,417,642
Jersey 0.18%
Galaxy Finco Ltd.†		7.875	%	11/15/2021		GBP	5,400		8,269,867
Luxembourg 0.59%
Altice SA†		6.25	%	2/15/2025		EUR	2,300		2,497,293
Bilbao Luxembourg SA PIK†		10.50	%	12/1/2018		EUR	4,413		5,138,166
Boardriders SA†		8.875	%	12/15/2017		EUR	7,425		7,889,844
Play Topco SA PIK†		7.75	%	2/28/2020		EUR	5,125		5,846,903
Trinseo Materials Operating SCA/Trinseo
Materials Finance, Inc.†		6.375	%	5/1/2022		EUR	4,625		5,232,027
Total									26,604,233
Netherlands 0.50%
Dutch Lion BV PIK†		11.25	%	6/15/2020		EUR	4,926		2,417,673
Hema Bondco I BV†		6.25	%	6/15/2019		EUR	7,900		7,635,382
United Group BV†		7.875	%	11/15/2020		EUR	8,750		10,327,041
United Group BV†		7.875	%	11/15/2020		EUR	1,630		1,918,660
Total									22,298,756
Spain 0.18%
Banco Popular Espanol SA		11.50	%	–	(f)	EUR	6,400		8,042,719

See Notes to Financial Statements. 45

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
United Kingdom 1.13%
Care UK Health & Social Care plc†		5.572	%	#	7/15/2019	GBP	5,700	$	8,472,303
Iron Mountain Europe plc†		6.125	%		9/15/2022	GBP	2,625		4,232,713
Odeon & UCI Finco plc†		9.00	%		8/1/2018	GBP	4,525		7,227,230
Old Mutual plc		8.00	%		6/3/2021	GBP	4,330		7,590,721
Premier Foods Finance plc†		6.50	%		3/15/2021	GBP	6,650		9,846,239
R&R Ice Cream plc†		5.50	%		5/15/2020	GBP	4,950		7,849,289
Stonegate Pub Co. Financing plc†		5.75	%		4/15/2019	GBP	3,700		5,739,906
Total									50,958,401
Total Foreign Bonds (cost $143,781,476)									127,949,097
FOREIGN GOVERNMENT OBLIGATIONS(a) 0.31%
Argentina 0.12%
Republic of Argentina		8.75	%		5/7/2024	$	5,465		5,357,941
Belize 0.10%
Republic of Belize†		5.00	%		2/20/2038		5,670		4,292,038
Ghana 0.09%
Republic of Ghana†		7.875	%		8/7/2023		4,500		4,260,735
Total Foreign Government Obligations (cost $14,151,257)									13,910,714
HIGH YIELD CORPORATE BONDS 79.08%
Advertising 0.59%
Affinion Investments LLC		13.50	%		8/15/2018		7,879		4,451,635
Clear Channel Worldwide Holdings, Inc. Series B		7.625	%		3/15/2020		11,323		12,016,534
Southern Graphics, Inc.†		8.375	%		10/15/2020		9,875		10,109,531
Total									26,577,700
Aerospace/Defense 0.78%
Aerojet Rocketdyne Holdings, Inc.		7.125	%		3/15/2021		7,750		8,331,250
Bombardier, Inc. (Canada)†(a)		7.50	%		3/15/2025		8,872		8,517,120
CPI International, Inc.		8.75	%		2/15/2018		7,000		7,245,000
Huntington Ingalls Industries, Inc.†		5.00	%		12/15/2021		5,799		6,052,706
Moog, Inc.†		5.25	%		12/1/2022		4,830		4,999,050
Total									35,145,126
Air Transportation 0.69%
Air Canada (Canada)†(a)		7.75	%		4/15/2021		4,366		4,693,450
Air Canada (Canada)†(a)		8.75	%		4/1/2020		6,275		6,945,641

46 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

						Principal
	Interest			Maturity		Amount		Fair
Investments	Rate			Date		(000)		Value
Air Transportation (continued)
Avianca Holdings SA/Avianca Leasing LLC/Grupo
Taca Holdings Ltd. (Panama)†(a)		8.375	%	5/10/2020		$	5,960	$	6,094,100
Gol LuxCo SA (Luxembourg)†(a)		8.875	%	1/24/2022			5,650		4,455,505
Hawaiian Airlines 2013-1 Class B Pass-Through Certificates		4.95	%	1/15/2022			3,775		3,633,542
United Continental Holdings, Inc.		6.00	%	12/1/2020			4,975		5,174,000
Total									30,996,238
Auto Parts & Equipment 1.69%
Affinia Group, Inc.		7.75	%	5/1/2021			2,582		2,704,645
American Axle & Manufacturing, Inc.		6.625	%	10/15/2022			3,800		4,099,250
Chassix, Inc.†(e)		9.25	%	8/1/2018			7,964		6,849,040
Commercial Vehicle Group, Inc.		7.875	%	4/15/2019			2,110		2,189,125
Gates Global LLC/Gates Global Co.†		6.00	%	7/15/2022			5,500		5,101,250
International Automotive Components Group SA (Luxembourg)†(a)		9.125	%	6/1/2018			2,283		2,362,905
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.†		7.875	%	10/1/2022			10,545		10,650,450
MPG Holdco I, Inc.†		7.375	%	10/15/2022			9,413		10,118,975
Nexteer Automotive Group Ltd.†		5.875	%	11/15/2021			4,097		4,281,365
Stackpole International Intermediate/Stackpole International Powder (Luxembourg)†(a)		7.75	%	10/15/2021			11,495		11,509,369
ZF North America Capital, Inc.†		4.50	%	4/29/2022			6,715		6,857,694
ZF North America Capital, Inc.†		4.75	%	4/29/2025			9,235		9,269,631
Total									75,993,699
Automakers 0.21%
General Motors Corp.(g)		–		–	(f)		8,500		850
J.B. Poindexter & Co., Inc.†		9.00	%	4/1/2022			8,810		9,558,850
Total									9,559,700
Banking 2.29%
Banco Bilbao Vizcaya Argentaria SA (Spain)(a)		9.00	%	–	(f)		10,200		11,112,900
Citizens Financial Group, Inc.†		5.50	%	–	(f)		5,600		5,488,000
Commerzbank AG (Germany)†(a)		8.125	%	9/19/2023			7,025		8,417,987
Credit Suisse Group AG (Switzerland)†(a)		7.50	%	–	(f)		10,025		10,689,156
Dresdner Funding Trust I†		8.151	%	6/30/2031			5,442		6,870,525
Lloyds Bank plc (United Kingdom)†(a)		12.00	%	–	(f)		6,252		9,049,770
Lloyds Banking Group plc (United Kingdom)(a)		7.50	%	–	(f)		8,100		8,636,625
National Savings Bank (Sri Lanka)†(a)		5.15	%	9/10/2019			4,275		4,114,688

See Notes to Financial Statements. 47

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Banking (continued)
National Savings Bank (Sri Lanka)†(a)		8.875	%	9/18/2018	$	5,050	$	5,486,825
Popular, Inc.		7.00	%	7/1/2019		15,355		15,796,456
Synovus Financial Corp.		7.875	%	2/15/2019		10,855		12,306,856
Trade & Development Bank of Mongolia LLC (Mongolia)†(a)		9.375	%	5/19/2020		4,710		5,022,038
Washington Mutual Bank(e)		6.875	%	6/15/2011		10,000		1,000
Total								102,992,826
Beverages 0.49%
Central American Bottling Corp. (Guatemala)†(a)		6.75	%	2/9/2022		5,990		6,394,325
Constellation Brands, Inc.		6.00	%	5/1/2022		8,000		9,040,000
Cott Beverages, Inc.†		5.375	%	7/1/2022		1,750		1,719,375
Cott Beverages, Inc.†		6.75	%	1/1/2020		4,482		4,728,510
Total								21,882,210
Brokerage 0.43%
E*TRADE Financial Corp.		4.625	%	9/15/2023		12,715		12,810,363
Scottrade Financial Services, Inc.†		6.125	%	7/11/2021		5,992		6,546,817
Total								19,357,180
Building & Construction 1.52%
Ashton Woods USA LLC/Ashton Woods Finance Co.†		6.875	%	2/15/2021		7,418		7,010,010
Brookfield Residential Properties, Inc. (Canada)†(a)		6.50	%	12/15/2020		10,330		10,665,725
K. Hovnanian Enterprises, Inc.		5.00	%	11/1/2021		9,465		8,187,225
PulteGroup, Inc.		6.375	%	5/15/2033		8,528		8,826,480
Toll Brothers Finance Corp.		4.375	%	4/15/2023		8,075		8,236,500
Toll Brothers Finance Corp.		5.625	%	1/15/2024		1,945		2,100,600
WCI Communities, Inc.		6.875	%	8/15/2021		5,929		6,210,628
William Lyon Homes, Inc.		7.00	%	8/15/2022		3,391		3,543,595
William Lyon Homes, Inc.		8.50	%	11/15/2020		12,421		13,569,942
Total								68,350,705
Building Materials 1.94%
Associated Asphalt Partners LLC/Road Holdings III LLC/Associated Asphalt Finance†		8.50	%	2/15/2018		4,452		4,374,090
Building Materials Corp. of America†		5.375	%	11/15/2024		6,509		6,594,398
CIMPOR Financial Operations BV (Netherlands)†(a)		5.75	%	7/17/2024		6,310		5,647,450
CPG Merger Sub LLC†		8.00	%	10/1/2021		8,020		8,461,100
Hillman Group, Inc. (The)†		6.375	%	7/15/2022		8,535		8,428,312
James Hardie International Finance Ltd. (Ireland)†(a)		5.875	%	2/15/2023		8,075		8,438,375
Masonite International Corp.†		5.625	%	3/15/2023		4,175		4,342,000

48 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Building Materials (continued)
NCI Building Systems, Inc.†		8.25	%	1/15/2023	$	4,483	$	4,808,018
New Enterprise Stone & Lime Co., Inc.		11.00	%	9/1/2018		4,723		4,262,508
Ply Gem Industries, Inc.		6.50	%	2/1/2022		6,422		6,359,162
Roofing Supply Group LLC/Roofing Supply Finance, Inc.†		10.00	%	6/1/2020		5,850		6,040,125
Summit Materials LLC/Summit Materials Finance Corp.		10.50	%	1/31/2020		2,962		3,250,795
USG Corp.†		5.50	%	3/1/2025		3,831		3,979,451
USG Corp.†		5.875	%	11/1/2021		5,559		5,962,027
Vulcan Materials Co.		4.50	%	4/1/2025		6,359		6,454,385
Total								87,402,196
Cable & Satellite Television 5.42%
Altice Financing SA (Luxembourg)†(a)		6.50	%	1/15/2022		3,375		3,467,813
Altice Financing SA (Luxembourg)†(a)		6.625	%	2/15/2023		5,975		6,206,531
Altice Finco SA (Luxembourg)†(a)		7.625	%	2/15/2025		2,725		2,799,938
Altice Finco SA (Luxembourg)†(a)		8.125	%	1/15/2024		3,100		3,262,750
Altice Finco SA (Luxembourg)†(a)		9.875	%	12/15/2020		11,525		12,778,344
Altice SA (Luxembourg)†(a)		7.625	%	2/15/2025		5,000		4,950,000
Altice SA (Luxembourg)†(a)		7.75	%	5/15/2022		10,700		10,833,750
Cablevision Systems Corp.		5.875	%	9/15/2022		12,770		12,770,000
CCO Holdings LLC/CCO Holdings Capital Corp.		5.25	%	3/15/2021		10,016		10,216,320
CCO Holdings LLC/CCO Holdings Capital Corp.		6.625	%	1/31/2022		5,249		5,596,746
Cogeco Cable, Inc. (Canada)†(a)		4.875	%	5/1/2020		5,100		5,265,750
CSC Holdings LLC†		5.25	%	6/1/2024		2,699		2,648,394
DISH DBS Corp.		5.875	%	7/15/2022		30,000		30,675,000
Harron Communications LP/Harron Finance Corp.†		9.125	%	4/1/2020		3,985		4,333,688
Mediacom LLC/Mediacom Capital Corp.		7.25	%	2/15/2022		4,308		4,588,020
Numericable-SFR SAS (France)†(a)		6.00	%	5/15/2022		19,325		19,566,562
RCN Telecom Services LLC/RCN Capital Corp.†		8.50	%	8/15/2020		8,640		9,234,000
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)†(a)		5.00	%	1/15/2025		3,303		3,286,485
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany)†(a)		5.50	%	1/15/2023		9,933		10,280,655
Unitymedia KabelBW GmbH (Germany)†(a)		6.125	%	1/15/2025		12,900		13,383,750
UPCB Finance IV Ltd.†		5.375	%	1/15/2025		10,500		10,565,625
UPCB Finance V Ltd.†		7.25	%	11/15/2021		5,513		6,036,187
Virgin Media Finance plc (United Kingdom)†(a)		6.00	%	10/15/2024		5,250		5,492,813
Virgin Media Secured Finance plc (United Kingdom)†(a)		5.375	%	4/15/2021		9,428		9,910,659

See Notes to Financial Statements. 49

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Cable & Satellite Television (continued)
VTR Finance BV (Netherlands)†(a)		6.875	%	1/15/2024	$	13,910	$	14,518,562
Wave Holdco LLC/Wave Holdco Corp. PIK†		8.25	%	7/15/2019		3,340		3,406,800
WaveDivision Escrow LLC/WaveDivision Escrow Corp.†		8.125	%	9/1/2020		12,080		12,804,800
Ziggo Bond Finance BV (Netherlands)†(a)		5.875	%	1/15/2025		5,265		5,390,044
Total								244,269,986
Chemicals 1.11%
A Schulman, Inc.†		6.875	%	6/1/2023		6,525		6,671,812
Celanese US Holdings LLC		5.875	%	6/15/2021		3,975		4,332,750
Chemours Co. (The)†		6.625	%	5/15/2023		5,300		5,392,750
Grupo Idesa SA de CV (Mexico)†(a)		7.875	%	12/18/2020		7,225		7,586,250
Hexion, Inc.		6.625	%	4/15/2020		6,485		6,144,538
Huntsman International LLC†		5.125	%	11/15/2022		4,509		4,531,545
Momentive Performance Materials, Inc.		10.00	%	10/15/2020		3,105		19,406
Platform Specialty Products Corp.†		6.50	%	2/1/2022		6,562		6,922,910
TPC Group, Inc.†		8.75	%	12/15/2020		6,600		6,418,500
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. (Luxembourg)†(a)		6.75	%	5/1/2022		2,000		2,042,500
Total								50,062,961
Consumer/Commercial/Lease Financing 2.02%
AerCap Ireland Capital Ltd./AerCap Global Aviation
Trust (Ireland)†(a)		3.75	%	5/15/2019		4,250		4,329,688
AerCap Ireland Capital Ltd./AerCap Global Aviation
Trust (Ireland)†(a)		5.00	%	10/1/2021		23,345		24,804,062
Aircastle Ltd.		5.50	%	2/15/2022		8,677		9,197,620
CIT Group, Inc.		5.375	%	5/15/2020		9,610		10,222,638
CIT Group, Inc.		6.00	%	4/1/2036		2,695		2,721,950
International Lease Finance Corp.		8.25	%	12/15/2020		10,000		12,175,000
International Lease Finance Corp.		8.625	%	1/15/2022		2,000		2,517,500
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.†		5.875	%	8/1/2021		5,335		5,168,281
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.		7.375	%	10/1/2017		6,660		6,976,350
National Financial Partners Corp.†		9.00	%	7/15/2021		8,505		8,632,575
OneMain Financial Holdings, Inc.†		6.75	%	12/15/2019		3,750		4,024,200
Total								90,769,864
Discount Store 0.22%
Family Tree Escrow LLC†		5.75	%	3/1/2023		9,150		9,699,000

50 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Diversified Capital Goods 0.79%
Artesyn Embedded Technologies, Inc.†		9.75	%	10/15/2020	$	6,755	$	7,042,088
Constellation Enterprises LLC†		10.625	%	2/1/2016		2,694		2,397,660
EnerSys†		5.00	%	4/30/2023		8,639		8,768,585
Griffon Corp.		5.25	%	3/1/2022		4,300		4,337,625
NANA Development Corp.†		9.50	%	3/15/2019		7,850		7,496,750
Unifrax I LLC/Unifrax Holding Co.†		7.50	%	2/15/2019		5,237		5,351,795
Total								35,394,503
Electric: Generation 1.52%
Borger Energy Associates LP/Borger Funding Corp.†		7.26	%	12/31/2022		843		859,551
Dynegy, Inc.†		7.375	%	11/1/2022		4,635		4,959,450
Dynegy, Inc.†		7.625	%	11/1/2024		8,730		9,406,575
Elwood Energy LLC		8.159	%	7/5/2026		8,630		9,675,878
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.†(e)		10.00	%	12/1/2020		15,040		789,600
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.†(e)		11.25	%	12/1/2018		2,850		3,306,000
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.†(e)		11.75	%	3/1/2022		5,149		5,757,565
Illinois Power Generating Co.		7.00	%	4/15/2018		10,249		9,992,775
Illinois Power Generating Co.		7.95	%	6/1/2032		5,926		5,718,590
NSG Holdings LLC/NSG Holdings, Inc.†		7.75	%	12/15/2025		7,851		8,635,735
Red Oak Power LLC		8.54	%	11/30/2019		5,215		5,580,465
Red Oak Power LLC		9.20	%	11/30/2029		3,400		3,825,000
Total								68,507,184
Electric: Integrated 0.42%
AES El Salvador Trust II†		6.75	%	3/28/2023		3,520		3,396,800
PPL Energy Supply LLC		4.60	%	12/15/2021		11,648		11,021,256
RJS Power Holdings LLC†		5.125	%	7/15/2019		4,597		4,585,508
Total								19,003,564
Electronics 0.32%
Flextronics International Ltd.		5.00	%	2/15/2023		4,300		4,525,750
Sensata Technologies BV (Netherlands)†(a)		5.625	%	11/1/2024		7,926		8,480,820
Viasystems, Inc.†		7.875	%	5/1/2019		1,507		1,603,071
Total								14,609,641
Energy: Exploration & Production 6.91%
Afren plc (United Kingdom)†(a)(e)		6.625	%	12/9/2020		4,925		2,191,625
Afren plc (United Kingdom)†(a)(e)		10.25	%	4/8/2019		3,450		1,535,250

See Notes to Financial Statements. 51

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Energy: Exploration & Production (continued)
Afren plc (United Kingdom)†(a)(e)		11.50	%	2/1/2016	$	4,400	$	2,024,000
Antero Resources Corp.		5.375	%	11/1/2021		4,525		4,604,188
Bill Barrett Corp.		7.00	%	10/15/2022		7,346		6,758,320
Bonanza Creek Energy, Inc.		6.75	%	4/15/2021		5,965		5,800,963
California Resources Corp.		5.00	%	1/15/2020		18,068		17,300,110
Carrizo Oil & Gas, Inc.		6.25	%	4/15/2023		4,253		4,348,693
Carrizo Oil & Gas, Inc.		7.50	%	9/15/2020		3,447		3,666,746
Chesapeake Energy Corp.		4.875	%	4/15/2022		1,143		1,094,423
Chesapeake Energy Corp.		5.75	%	3/15/2023		10,281		10,203,892
Clayton Williams Energy, Inc.		7.75	%	4/1/2019		7,354		6,949,530
Concho Resources, Inc.		5.50	%	4/1/2023		9,583		9,774,660
CrownRock LP/CrownRock Finance, Inc.†		7.125	%	4/15/2021		9,850		10,293,250
CrownRock LP/CrownRock Finance, Inc.†		7.75	%	2/15/2023		2,650		2,828,875
Diamondback Energy, Inc.		7.625	%	10/1/2021		5,461		5,897,880
Energen Corp.		4.625	%	9/1/2021		1,218		1,185,309
EXCO Resources, Inc.		8.50	%	4/15/2022		11,072		6,560,160
Genel Energy Finance plc (United Kingdom)†(a)		7.50	%	5/14/2019		4,800		4,536,000
GeoPark Latin America Ltd. Agencia en Chile (Chile)†(a)		7.50	%	2/11/2020		4,883		4,370,285
Gulfport Energy Corp.†		6.625	%	5/1/2023		2,400		2,454,000
Gulfport Energy Corp.		7.75	%	11/1/2020		9,315		9,897,187
Hilcorp Energy I LP/Hilcorp Finance Co.†		5.00	%	12/1/2024		7,849		7,672,397
Kosmos Energy Ltd. †		7.875	%	8/1/2021		14,540		14,358,250
Legacy Reserves LP/Legacy Reserves Finance Corp.		6.625	%	12/1/2021		5,345		4,489,800
Matador Resources Co.†		6.875	%	4/15/2023		5,255		5,425,788
MEG Energy Corp. (Canada)†(a)		7.00	%	3/31/2024		26,690		25,889,300
Memorial Resource Development Corp.†		5.875	%	7/1/2022		4,013		3,942,773
Newfield Exploration Co.		5.75	%	1/30/2022		6,745		7,149,700
Oasis Petroleum, Inc.		6.50	%	11/1/2021		5,000		5,062,500
Oasis Petroleum, Inc.		6.875	%	3/15/2022		7,775		7,988,812
Paramount Resources Ltd. (Canada)†(a)(h)		6.875	%	6/30/2023		7,433		7,488,747
Parsley Energy LLC/Parsley Finance Corp.†		7.50	%	2/15/2022		5,321		5,580,133
PDC Energy, Inc.		7.75	%	10/15/2022		5,642		6,065,150
Penn Virginia Corp.		8.50	%	5/1/2020		6,557		6,229,150
Rice Energy, Inc.		6.25	%	5/1/2022		7,505		7,734,803
Rice Energy, Inc.†		7.25	%	5/1/2023		1,060		1,107,700
Rosetta Resources, Inc.		5.875	%	6/1/2022		6,450		6,917,625
RSP Permian, Inc.†		6.625	%	10/1/2022		8,398		8,775,910
Seven Generations Energy Ltd. (Canada)†(a)		6.75	%	5/1/2023		3,165		3,196,650

52 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Energy: Exploration & Production (continued)
Seven Generations Energy Ltd. (Canada)†(a)		8.25	%	5/15/2020	$	23,611	$	25,440,852
SM Energy Co.		6.50	%	11/15/2021		3,975		4,173,750
Triangle USA Petroleum Corp.†		6.75	%	7/15/2022		3,993		3,394,050
Tullow Oil plc (United Kingdom)†(a)		6.00	%	11/1/2020		1,720		1,586,700
Tullow Oil plc (United Kingdom)†(a)		6.25	%	4/15/2022		3,670		3,367,225
Ultra Petroleum Corp.†		6.125	%	10/1/2024		7,500		6,928,125
YPF SA (Argentina)†(a)		8.50	%	7/28/2025		6,800		6,967,960
								311,209,196
Food & Drug Retailers 1.60%
Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc.†		7.75	%	10/15/2022		5,691		6,167,621
BI-LO LLC/BI-LO Finance Corp.†		9.25	%	2/15/2019		4,075		4,248,188
Ingles Markets, Inc.		5.75	%	6/15/2023		215		224,138
New Albertson’s, Inc.		7.45	%	8/1/2029		7,986		7,786,350
New Albertson’s, Inc.		7.75	%	6/15/2026		4,098		3,995,550
Rite Aid Corp.†		6.125	%	4/1/2023		12,298		12,836,037
Rite Aid Corp.		6.75	%	6/15/2021		3,615		3,813,825
Rite Aid Corp.		7.70	%	2/15/2027		10,350		12,213,000
Tops Holding II Corp.		8.75	%	6/15/2018		7,964		8,003,820
Tops Holding LLC/Top Markets II Corp.†		8.00	%	6/15/2022		12,785		12,785,000
Total								72,073,529
Food: Wholesale 2.88%
Bumble Bee Holdco SCA PIK (Luxembourg)†(a)		9.625	%	3/15/2018		5,231		5,414,085
Bumble Bee Holdings, Inc.†		9.00	%	12/15/2017		2,147		2,259,718
Diamond Foods, Inc.†		7.00	%	3/15/2019		12,580		13,051,750
ESAL GmbH (Austria)†(a)		6.25	%	2/5/2023		4,725		4,819,500
Hearthside Group Holdings LLC/Hearthside Finance Co.†		6.50	%	5/1/2022		8,515		8,472,425
JBS Investments GmbH (Austria)†(a)		7.25	%	4/3/2024		6,850		7,346,625
JBS Investments GmbH (Austria)†(a)		7.75	%	10/28/2020		2,075		2,306,778
JBS USA LLC/JBS USA Finance, Inc.†(h)		5.75	%	6/15/2025		2,926		2,962,575
JBS USA LLC/JBS USA Finance, Inc.†		5.875	%	7/15/2024		8,104		8,367,380
JBS USA LLC/JBS USA Finance, Inc.†		7.25	%	6/1/2021		2,275		2,414,912
KeHE Distributors LLC/KeHE Finance Corp.†		7.625	%	8/15/2021		9,250		9,897,500
Land O’Lakes Capital Trust I†		7.45	%	3/15/2028		2,946		3,196,410
Land O’Lakes, Inc.†		6.00	%	11/15/2022		6,422		6,951,815
MHP SA (Ukraine)†(a)		8.25	%	4/2/2020		5,825		4,980,375
Pilgrim’s Pride Corp.†		5.75	%	3/15/2025		8,281		8,425,917

See Notes to Financial Statements. 53

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Food: Wholesale (continued)
Pinnacle Foods Finance LLC/Pinnacle Foods
Finance Corp.		4.875	%	5/1/2021	$	5,919	$	5,978,190
Southern States Cooperative, Inc.†		10.00	%	8/15/2021		4,621		4,366,845
Tonon Luxembourg SA (Luxembourg)†(a)		10.50	%	5/14/2024		5,275		2,479,250
WhiteWave Foods Co. (The)		5.375	%	10/1/2022		24,055		26,039,537
Total								129,731,587
Forestry/Paper 1.05%
Boise Cascade Co.		6.375	%	11/1/2020		6,000		6,375,000
Cascades, Inc. (Canada)†(a)		5.50	%	7/15/2022		2,306		2,303,118
Mercer International, Inc. (Canada)(a)		7.75	%	12/1/2022		13,990		15,144,175
Millar Western Forest Products Ltd. (Canada)(a)		8.50	%	4/1/2021		5,610		5,638,050
Neenah Paper, Inc.†		5.25	%	5/15/2021		9,205		9,297,050
PH Glatfelter Co.		5.375	%	10/15/2020		4,030		4,140,825
Rayonier AM Products, Inc.†		5.50	%	6/1/2024		4,825		4,354,562
Total								47,252,780
Gaming 3.55%
Boyd Gaming Corp.		6.875	%	5/15/2023		6,525		6,671,812
Caesar’s Entertainment Resort Properties LLC/Caesar’s Entertainment Resort Properties Finance, Inc.		11.00	%	10/1/2021		6,105		5,719,164
Caesar’s Growth Properties Holdings LLC/Caesar’s Growth Properties Finance, Inc.†		9.375	%	5/1/2022		17,131		14,090,247
CCM Merger, Inc.†		9.125	%	5/1/2019		3,621		3,946,890
Churchill Downs, Inc.		5.375	%	12/15/2021		7,967		8,206,010
Graton Economic Development Authority†		9.625	%	9/1/2019		8,172		8,927,910
Greektown Holdings LLC/Greektown Mothership Corp.†		8.875	%	3/15/2019		5,204		5,529,250
Isle of Capri Casinos, Inc.†		5.875	%	3/15/2021		1,760		1,830,400
Isle of Capri Casinos, Inc.		8.875	%	6/15/2020		1,083		1,183,178
MCE Finance Ltd. (Macao)†(a)		5.00	%	2/15/2021		7,590		7,352,812
MGM Resorts International		6.00	%	3/15/2023		18,979		19,761,884
Mohegan Tribal Gaming Authority		9.75	%	9/1/2021		12,720		13,610,400
Penn National Gaming, Inc.		5.875	%	11/1/2021		5,547		5,664,874
Pinnacle Entertainment, Inc.		6.375	%	8/1/2021		4,035		4,327,537
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.†		9.50	%	6/15/2019		3,802		4,011,110
ROC Finance LLC/ROC Finance 1 Corp.†		12.125	%	9/1/2018		6,965		7,526,553
Scientific Games International, Inc.†		7.00	%	1/1/2022		4,129		4,325,128
Scientific Games International, Inc.		10.00	%	12/1/2022		3,531		3,433,898

54 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Gaming (continued)
Shingle Springs Tribal Gaming Authority†		9.75	%	9/1/2021	$	10,754	$	12,098,250
Station Casinos LLC		7.50	%	3/1/2021		4,052		4,335,640
Studio City Finance Ltd. (Hong Kong)†(a)		8.50	%	12/1/2020		4,028		4,088,420
Sugarhouse HSP Gaming Prop. Mezz. LP/Sugarhouse HSP Gaming Finance Corp.†		6.375	%	6/1/2021		6,915		6,638,400
Wynn Macau Ltd. (Macau)†(a)		5.25	%	10/15/2021		6,610		6,461,275
Total								159,741,042
Gas Distribution 2.90%
Energy Transfer Equity LP		5.50	%	6/1/2027		7,463		7,518,972
Energy Transfer Equity LP		5.875	%	1/15/2024		5,250		5,604,375
Genesis Energy LP/Genesis Energy Finance Corp.		5.625	%	6/15/2024		2,985		2,955,150
Hiland Partners LP/Hiland Partners Finance Corp.†		5.50	%	5/15/2022		2,993		3,120,203
Holly Energy Partners LP/Holly Energy Finance Corp.		6.50	%	3/1/2020		4,560		4,582,800
IFM US Colonial Pipeline 2 LLC†		6.45	%	5/1/2021		4,700		5,136,907
Kinder Morgan, Inc.		8.05	%	10/15/2030		3,519		4,255,506
LBC Tank Terminals Holding Netherlands BV (Belgium)†(a)		6.875	%	5/15/2023		4,105		4,269,200
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.		4.875	%	12/1/2024		2,410		2,446,150
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.		6.25	%	6/15/2022		7,157		7,965,383
NGPL PipeCo LLC†		9.625	%	6/1/2019		5,323		5,456,075
Rockies Express Pipeline LLC†		5.625	%	4/15/2020		5,534		5,796,865
Rockies Express Pipeline LLC†		6.875	%	4/15/2040		4,437		4,780,868
Rockies Express Pipeline LLC†		7.50	%	7/15/2038		1,268		1,407,480
Sabine Pass Liquefaction LLC†		5.625	%	3/1/2025		6,820		6,845,575
Sabine Pass Liquefaction LLC		5.75	%	5/15/2024		8,650		8,833,812
Sabine Pass Liquefaction LLC		6.25	%	3/15/2022		19,863		21,005,122
SemGroup Corp.		7.50	%	6/15/2021		6,190		6,561,400
Southern Star Central Corp.†		5.125	%	7/15/2022		8,106		8,511,300
Tesoro Logistics LP/Tesoro Logistics Finance Corp.†		5.50	%	10/15/2019		2,775		2,948,438
Tesoro Logistics LP/Tesoro Logistics Finance Corp.		6.125	%	10/15/2021		3,425		3,613,375
Tesoro Logistics LP/Tesoro Logistics Finance Corp.†		6.25	%	10/15/2022		6,580		6,991,250
Total								130,606,206
Health Facilities 3.52%
Acadia Healthcare Co., Inc.		5.125	%	7/1/2022		3,365		3,373,413
Acadia Healthcare Co., Inc.		6.125	%	3/15/2021		12,592		13,095,680

See Notes to Financial Statements. 55

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Health Facilities (continued)
Amsurg Corp.		5.625	%	11/30/2020	$	5,075	$	5,204,666
Amsurg Corp.		5.625	%	7/15/2022		4,360		4,479,900
CHS/Community Health Systems, Inc.		6.875	%	2/1/2022		13,030		13,942,230
CHS/Community Health Systems, Inc.		8.00	%	11/15/2019		2,695		2,870,175
CTR Partnership LP/CareTrust Capital Corp.		5.875	%	6/1/2021		5,085		5,250,263
DaVita HealthCare Partners, Inc.		5.125	%	7/15/2024		5,952		6,026,400
HCA, Inc.		5.375	%	2/1/2025		5,680		5,864,600
HCA, Inc.		5.875	%	3/15/2022		15,561		17,428,320
HCA, Inc.		7.50	%	12/15/2023		7,278		8,205,945
HCA, Inc.		8.36	%	4/15/2024		10,088		11,929,060
HealthSouth Corp.		5.75	%	11/1/2024		3,804		3,941,895
Kindred Healthcare, Inc.		6.375	%	4/15/2022		3,373		3,453,109
Kindred Healthcare, Inc.†		8.00	%	1/15/2020		5,112		5,540,130
LifePoint Hospitals, Inc.		5.50	%	12/1/2021		3,114		3,281,378
MPT Operating Partnership LP/MPT Finance Corp.		6.375	%	2/15/2022		8,390		9,092,662
Sabra Health Care LP/Sabra Capital Corp.		5.375	%	6/1/2023		5,290		5,580,950
Sabra Health Care LP/Sabra Capital Corp.		5.50	%	2/1/2021		5,650		5,946,625
Select Medical Corp.		6.375	%	6/1/2021		4,225		4,267,250
Tenet Healthcare Corp.		6.00	%	10/1/2020		7,450		7,990,125
Tenet Healthcare Corp.		8.125	%	4/1/2022		10,615		11,596,887
Total								158,361,663
Health Services 0.53%
Emdeon, Inc.		11.00	%	12/31/2019		3,885		4,268,644
Envision Healthcare Corp.†		5.125	%	7/1/2022		3,282		3,388,665
ExamWorks Group, Inc.		5.625	%	4/15/2023		5,029		5,161,011
Omnicare, Inc.		4.75	%	12/1/2022		492		536,280
Quintiles Transnational Corp.†		4.875	%	5/15/2023		2,850		2,899,875
Sterigenics-Nordion Holdings LLC†		6.50	%	5/15/2023		3,110		3,141,100
StoneMor Partners LP/Cornerstone Family Services of WV		7.875	%	6/1/2021		4,187		4,427,752
Total								23,823,327
Hotels 0.53%
ESH Hospitality, Inc.†		5.25	%	5/1/2025		3,310		3,351,375
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.		5.625	%	10/15/2021		8,550		9,052,312
Playa Resorts Holding BV (Netherlands)†(a)		8.00	%	8/15/2020		7,000		7,280,000
RHP Hotel Properties LP/RHP Finance Corp.		5.00	%	4/15/2021		3,955		4,034,100
Total								23,717,787

56 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Insurance Brokerage 0.31%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC†		7.875	%	12/15/2020	$	7,287	$	7,523,828
Hockey Merger Sub 2, Inc.†		7.875	%	10/1/2021		6,017		6,227,595
Total								13,751,423
Integrated Energy 0.29%
Petrobras Global Finance BV (Netherlands)(a)		4.375	%	5/20/2023		9,575		8,569,625
Rosneft Oil Co. via Rosneft International Finance Ltd. (Ireland)†(a)		4.199	%	3/6/2022		5,400		4,677,750
Total								13,247,375
Life Insurance 0.53%
American Equity Investment Life Holding Co.		6.625	%	7/15/2021		13,550		14,498,500
CNO Financial Group, Inc.		5.25	%	5/30/2025		8,840		9,193,600
Total								23,692,100
Machinery 0.48%
Milacron LLC/Mcron Finance Corp.†		7.75	%	2/15/2021		8,371		8,705,840
Oshkosh Corp.		5.375	%	3/1/2022		5,350		5,604,125
Oshkosh Corp.†		5.375	%	3/1/2025		2,546		2,647,840
Waterjet Holdings, Inc.†		7.625	%	2/1/2020		4,534		4,760,700
Total								21,718,505
Managed Care 0.34%
Centene Corp.		4.75	%	5/15/2022		8,700		9,178,500
MPH Acquisition Holdings LLC†		6.625	%	4/1/2022		5,930		6,285,800
Total								15,464,300
Media: Content 2.34%
AMC Networks, Inc.		4.75	%	12/15/2022		27,183		27,862,575
Belo Corp.		7.25	%	9/15/2027		7,195		7,734,625
Belo Corp.		7.75	%	6/1/2027		1,095		1,223,663
DreamWorks Animation SKG, Inc.†		6.875	%	8/15/2020		4,402		4,424,010
iHeartCommunications, Inc.		9.00	%	12/15/2019		4,400		4,339,500
iHeartCommunications, Inc.		10.00	%	1/15/2018		6,680		5,786,550
iHeartCommunications, Inc.		11.25	%	3/1/2021		6,325		6,411,969
LIN Television Corp.		6.375	%	1/15/2021		5,261		5,451,711
Netflix, Inc.		5.375	%	2/1/2021		2,425		2,540,187
Netflix, Inc.†		5.875	%	2/15/2025		13,782		14,471,100
Townsquare Media, Inc.†		6.50	%	4/1/2023		13,042		13,058,302
Univision Communications, Inc.†		5.125	%	2/15/2025		12,136		12,099,592
Total								105,403,784

See Notes to Financial Statements. 57

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Media: Diversified 0.10%
Block Communications, Inc.†		7.25	%	2/1/2020	$	4,145	$	4,279,713
Medical Products 1.56%
Alere, Inc.		6.50	%	6/15/2020		4,138		4,375,935
Fresenius Medical Care US Finance II, Inc.†		5.875	%	1/31/2022		12,135		13,227,150
Fresenius Medical Care US Finance, Inc.†		5.75	%	2/15/2021		5,101		5,534,585
Grifols Worldwide Operations Ltd. (Ireland)(a)		5.25	%	4/1/2022		3,550		3,629,875
Kinetic Concepts, Inc./KCI USA, Inc.		10.50	%	11/1/2018		5,038		5,430,964
Kinetic Concepts, Inc./KCI USA, Inc.		12.50	%	11/1/2019		4,275		4,681,125
Mallinckrodt International Finance SA (Luxembourg)(a)		4.75	%	4/15/2023		14,773		14,246,712
Mallinckrodt International Finance SA/ Mallinckrodt CB LLC (Luxembourg)†(a)		4.875	%	4/15/2020		2,993		3,075,307
Mallinckrodt International Finance SA/ Mallinckrodt CB LLC (Luxembourg)†(a)		5.50	%	4/15/2025		2,628		2,652,966
Mallinckrodt International Finance SA/ Mallinckrodt CB LLC (Luxembourg)†(a)		5.75	%	8/1/2022		12,895		13,555,869
Total								70,410,488
Metals/Mining (Excluding Steel) 3.07%
Aleris International, Inc.		7.625	%	2/15/2018		3,839		3,992,560
Aleris International, Inc.		7.875	%	11/1/2020		3,542		3,692,535
ALROSA Finance SA (Luxembourg)†(a)		7.75	%	11/3/2020		7,375		7,780,625
AuRico Gold, Inc. (Canada)†(a)		7.75	%	4/1/2020		6,325		6,483,125
Boart Longyear Management Pty Ltd. (Australia)†(a)		10.00	%	10/1/2018		2,367		2,293,031
Coeur Mining, Inc.		7.875	%	2/1/2021		8,148		7,048,020
Compass Minerals International, Inc.†		4.875	%	7/15/2024		8,655		8,741,550
Constellium NV (Netherlands)†(a)		5.75	%	5/15/2024		13,228		12,500,460
Emeco Pty Ltd. (Australia)†(a)		9.875	%	3/15/2019		5,525		4,337,125
FMG Resources (August 2006) Pty Ltd. (Australia)†(a)		8.25	%	11/1/2019		4,513		4,146,319
FMG Resources (August 2006) Pty Ltd. (Australia)†(a)		9.75	%	3/1/2022		8,328		8,765,220
Hecla Mining Co.		6.875	%	5/1/2021		1,881		1,791,653
HudBay Minerals, Inc. (Canada)(a)		9.50	%	10/1/2020		4,600		4,945,000
Imperial Metals Corp. (Canada)†(a)		7.00	%	3/15/2019		11,038		10,872,430
Kissner Milling Co. Ltd. (Canada)†(a)		7.25	%	6/1/2019		5,760		5,911,200
Lundin Mining Corp. (Canada)†(a)		7.875	%	11/1/2022		8,337		9,040,501
Mirabela Nickel Ltd. (Australia)(a)		1.00	%	9/10/2044		50		5
New Gold, Inc. (Canada)†(a)		6.25	%	11/15/2022		8,447		8,499,794
New Gold, Inc. (Canada)†(a)		7.00	%	4/15/2020		1,030		1,078,925
Peabody Energy Corp.†		10.00	%	3/15/2022		8,624		6,683,600

58 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

							Principal
	Interest				Maturity		Amount		Fair
Investments	Rate				Date		(000)		Value
Metals/Mining (Excluding Steel) (continued)
Petra Diamonds US Treasury plc (South Africa)†(a)		8.25	%		5/31/2020		$	6,585	$	6,766,087
Thompson Creek Metals Co., Inc.		7.375	%		6/1/2018			4,924		4,308,500
Thompson Creek Metals Co., Inc.		9.75	%		12/1/2017			3,881		4,113,860
Walter Energy, Inc.†(i)		9.50	%		10/15/2019			7,640		4,259,300
Total										138,051,425
Multi-Line Insurance 0.08%
ING Groep NV (Netherlands)(a)		6.50	%		–	(f)		3,575		3,590,641
Oil Field Equipment & Services 0.60%
Basic Energy Services, Inc.		7.75	%		10/15/2022			7,513		6,104,313
FTS International, Inc.†		7.783	%	#	6/15/2020			7,564		7,568,523
Gulfmark Offshore, Inc.		6.375	%		3/15/2022			7,777		6,299,370
Pioneer Energy Services Corp.		6.125	%		3/15/2022			8,541		6,960,915
Total										26,933,121
Oil Refining & Marketing 0.67%
Citgo Holding, Inc.†		10.75	%		2/15/2020			10,559		11,100,149
CVR Refining LLC/Coffeyville Finance, Inc.		6.50	%		11/1/2022			6,760		6,962,800
Northern Tier Energy LLC/Northern Tier Finance Corp.		7.125	%		11/15/2020			11,464		11,979,880
Total										30,042,829
Packaging 1.78%
Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc. (Ireland)†(a)		6.00	%		6/30/2021			5,700		5,757,000
BWAY Holding Co.†		9.125	%		8/15/2021			4,299		4,481,708
Coveris Holdings SA (Luxembourg)†(a)		7.875	%		11/1/2019			10,150		10,429,125
Graphic Packaging International, Inc.		4.75	%		4/15/2021			6,975		7,271,437
Graphic Packaging International, Inc.		4.875	%		11/15/2022			3,938		4,056,140
Pactiv LLC		7.95	%		12/15/2025			5,375		5,469,063
PaperWorks Industries, Inc.†		9.50	%		8/15/2019			8,432		8,590,100
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA		5.75	%		10/15/2020			5,290		5,521,437
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA		8.25	%		2/15/2021			16,550		17,522,312
Sealed Air Corp.†		4.875	%		12/1/2022			4,474		4,518,740
Sealed Air Corp.†		5.125	%		12/1/2024			1,524		1,556,385
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc.†		6.375	%		5/1/2022			5,168		5,193,840
Total										80,367,287

See Notes to Financial Statements. 59

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Personal & Household Products 1.12%
American Greetings Corp.		7.375	%	12/1/2021	$	4,620	$	4,931,850
Brunswick Corp.†		4.625	%	5/15/2021		5,585		5,710,662
Century Intermediate Holding Co. 2 PIK†		9.75	%	2/15/2019		9,325		9,884,500
Elizabeth Arden, Inc.		7.375	%	3/15/2021		6,909		5,864,014
FGI Operating Co. LLC/FGI Finance, Inc.		7.875	%	5/1/2020		10,126		8,151,430
Serta Simmons Holdings LLC†		8.125	%	10/1/2020		4,248		4,546,210
Spectrum Brands, Inc.†		5.75	%	7/15/2025		5,245		5,428,575
Springs Industries, Inc.		6.25	%	6/1/2021		5,895		5,836,050
Total								50,353,291
Pharmaceuticals 1.33%
Valeant Pharmaceuticals International, Inc.†		5.375	%	3/15/2020		9,186		9,599,370
Valeant Pharmaceuticals International, Inc.†		5.50	%	3/1/2023		3,438		3,515,355
Valeant Pharmaceuticals International, Inc.†		5.875	%	5/15/2023		13,258		13,771,747
Valeant Pharmaceuticals International, Inc.†		6.125	%	4/15/2025		7,782		8,112,735
Valeant Pharmaceuticals International, Inc.†		6.375	%	10/15/2020		23,354		24,974,184
Total								59,973,391
Printing & Publishing 0.22%
RR Donnelley & Sons Co.		7.00	%	2/15/2022		2,975		3,261,344
RR Donnelley & Sons Co.		7.875	%	3/15/2021		5,760		6,624,000
Total								9,885,344
Rail 0.46%
Florida East Coast Holdings Corp.†		6.75	%	5/1/2019		9,936		9,936,000
Florida East Coast Holdings Corp.†		9.75	%	5/1/2020		5,085		4,868,887
Watco Cos. LLC/Watco Finance Corp.†		6.375	%	4/1/2023		5,575		5,714,375
Total								20,519,262
Real Estate Development & Management 0.28%
CBRE Services, Inc.		5.00	%	3/15/2023		12,250		12,678,750
Real Estate Investment Trusts 0.40%
China South City Holdings Ltd. (Hong Kong)(a)		8.25	%	1/29/2019		2,475		2,419,313
China South City Holdings Ltd. (Hong Kong)(a)		13.50	%	10/17/2017		6,012		6,594,262
Qualitytech LP/QTS Finance Corp.		5.875	%	8/1/2022		5,777		5,914,204
Vingroup JSC (Vietnam)†(a)		11.625	%	5/7/2018		2,875		3,126,562
Total								18,054,341
Recreation & Travel 1.08%
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.		5.25	%	3/15/2021		9,684		10,168,200

60 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Recreation & Travel (continued)
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.		5.375	%	6/1/2024	$	2,961	$	3,101,647
NCL Corp. Ltd.†		5.25	%	11/15/2019		4,064		4,221,277
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp.†		8.875	%	4/15/2017		6,437		6,497,347
Royal Caribbean Cruises Ltd.		7.50	%	10/15/2027		6,800		7,956,000
Viking Cruises Ltd.†		6.25	%	5/15/2025		5,250		5,289,375
Viking Cruises Ltd.†		8.50	%	10/15/2022		10,039		11,293,875
Total								48,527,721
Restaurants 0.59%
Carrols Restaurant Group, Inc.†		8.00	%	5/1/2022		7,361		7,747,452
CEC Entertainment, Inc.		8.00	%	2/15/2022		4,130		4,212,600
PF Chang’s China Bistro, Inc.†		10.25	%	6/30/2020		7,855		8,129,925
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC†		5.875	%	5/15/2021		5,830		5,917,450
Wendy’s International LLC		7.00	%	12/15/2025		633		664,650
Total								26,672,077
Software/Services 2.75%
Alliance Data Systems Corp.†		5.375	%	8/1/2022		11,568		11,683,680
Alliance Data Systems Corp.†		6.375	%	4/1/2020		8,280		8,662,950
Aspect Software, Inc.		10.625	%	5/15/2017		3,663		3,315,015
Audatex North America, Inc.†		6.125	%	11/1/2023		7,155		7,468,031
Blue Coat Holdings, Inc.†		8.375	%	6/1/2023		4,439		4,494,488
Ceridian HCM Holding, Inc.†		11.00	%	3/15/2021		7,476		7,943,250
First Data Corp.		11.25	%	1/15/2021		18,194		20,468,250
First Data Corp.		11.75	%	8/15/2021		8,363		9,586,089
Infinity Acquisition LLC/Infinity Acquisition Finance Corp.†		7.25	%	8/1/2022		10,230		9,718,500
Infor US, Inc.†		6.50	%	5/15/2022		11,766		12,253,112
MSCI, Inc.†		5.25	%	11/15/2024		6,074		6,354,923
SRA International, Inc.		11.00	%	10/1/2019		7,325		7,801,125
SunGard Data Systems, Inc.		6.625	%	11/1/2019		7,385		7,735,787
VeriSign, Inc.†		5.25	%	4/1/2025		6,110		6,247,475
Total								123,732,675
Specialty Retail 2.61%
Argos Merger Sub, Inc.†		7.125	%	3/15/2023		10,602		11,264,625
Asbury Automotive Group, Inc.		6.00	%	12/15/2024		11,382		11,965,327
Claire’s Stores, Inc.†		9.00	%	3/15/2019		8,347		7,449,697

See Notes to Financial Statements. 61

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Specialty Retail (continued)
CST Brands, Inc.		5.00	%	5/1/2023	$	8,059	$	8,240,327
DBP Holding Corp.†		7.75	%	10/15/2020		7,875		6,910,313
Dufry Finance SCA (Luxembourg)†(a)		5.50	%	10/15/2020		6,625		6,936,713
First Cash Financial Services, Inc.		6.75	%	4/1/2021		3,976		4,224,500
Hot Topic, Inc.†		9.25	%	6/15/2021		13,360		14,529,000
Men’s Wearhouse, Inc. (The)†		7.00	%	7/1/2022		4,822		5,135,430
Neiman Marcus Group Ltd. LLC†		8.00	%	10/15/2021		12,350		13,307,125
Pacific Emerald Pte Ltd. (Singapore)(a)		9.75	%	7/25/2018		3,200		3,412,000
Perry Ellis International, Inc.		7.875	%	4/1/2019		44		46,035
Rent-A-Center, Inc.		6.625	%	11/15/2020		5,719		5,690,405
Sally Holdings LLC/Sally Capital, Inc.		5.75	%	6/1/2022		5,304		5,675,280
Toys R Us Property Co. II LLC		8.50	%	12/1/2017		3,975		4,024,688
William Carter Co. (The)		5.25	%	8/15/2021		8,528		8,869,120
Total								117,680,585
Steel Producers/Products 0.81%
AK Steel Corp.		8.375	%	4/1/2022		7,463		6,520,796
Allegheny Technologies, Inc.		6.375	%	8/15/2023		10,273		10,786,342
Steel Dynamics, Inc.		5.125	%	10/1/2021		6,290		6,400,075
Steel Dynamics, Inc.		5.50	%	10/1/2024		6,318		6,531,233
United States Steel Corp.		7.375	%	4/1/2020		5,950		6,411,125
Total								36,649,571
Support: Services 1.59%
ADT Corp. (The)		3.50	%	7/15/2022		4,145		3,833,296
ADT Corp. (The)		4.125	%	6/15/2023		5,858		5,521,165
APX Group, Inc.		6.375	%	12/1/2019		5,153		5,165,882
BlueLine Rental Finance Corp.†		7.00	%	2/1/2019		4,109		4,263,088
Compiler Finance Sub, Inc.†		7.00	%	5/1/2021		8,168		6,248,520
Corrections Corp. of America		4.625	%	5/1/2023		4,387		4,397,968
Jurassic Holdings III, Inc.†		6.875	%	2/15/2021		11,472		9,607,800
Light Tower Rentals, Inc.†		8.125	%	8/1/2019		7,355		6,251,750
Modular Space Corp.†		10.25	%	1/31/2019		7,868		6,746,810
NES Rentals Holdings, Inc.†		7.875	%	5/1/2018		6,525		6,704,437
Sotheby’s†		5.25	%	10/1/2022		9,110		9,132,775
Vander Intermediate Holding II Corp. PIK†		9.75	%	2/1/2019		3,775		3,831,625
Total								71,705,116

62 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Technology Hardware & Equipment 0.95%
CDW LLC/CDW Finance Corp.		5.00	%	9/1/2023	$	5,680	$	5,840,403
CDW LLC/CDW Finance Corp.		5.50	%	12/1/2024		4,076		4,279,800
CDW LLC/CDW Finance Corp.		6.00	%	8/15/2022		2,256		2,433,660
CommScope Technologies Finance LLC†		6.00	%	6/15/2025		9,979		10,128,685
CommScope, Inc.†		5.00	%	6/15/2021		1,550		1,553,875
Dell, Inc.		7.10	%	4/15/2028		3,685		4,044,288
Denali Borrower LLC/Denali Finance Corp.†		5.625	%	10/15/2020		9,540		10,148,175
Project Homestake Merger Corp.†		8.875	%	3/1/2023		4,318		4,323,397
Total								42,752,283
Telecommunications: Wireline Integrated & Services 2.27%
Cogent Communications Group, Inc.†		5.375	%	3/1/2022		7,592		7,629,960
Columbus International, Inc. (Barbados)†(a)		7.375	%	3/30/2021		6,250		6,796,875
Consolidated Communications, Inc.†		6.50	%	10/1/2022		4,949		5,023,235
Consolidated Communications, Inc.		10.875	%	6/1/2020		6,463		7,262,796
DigitalGlobe, Inc.†		5.25	%	2/1/2021		4,375		4,397,750
Dycom Investments, Inc.		7.125	%	1/15/2021		5,485		5,800,388
Equinix, Inc.		4.875	%	4/1/2020		7,090		7,355,875
FairPoint Communications, Inc.†		8.75	%	8/15/2019		4,345		4,611,131
Frontier Communications Corp.		6.875	%	1/15/2025		7,900		7,238,375
Frontier Communications Corp.		9.25	%	7/1/2021		10,460		11,492,925
GCI, Inc.		6.875	%	4/15/2025		8,841		9,117,281
Telecom Italia SpA (Italy)†(a)		5.303	%	5/30/2024		12,150		12,681,563
Zayo Group LLC/Zayo Capital, Inc.†		6.00	%	4/1/2023		12,680		12,800,333
Total								102,208,487
Telecommunications: Satellite 0.77%
Hughes Satellite Systems Corp.		6.50	%	6/15/2019		4,914		5,423,827
Inmarsat Finance plc (United Kingdom)†(a)		4.875	%	5/15/2022		9,600		9,528,000
Intelsat Jackson Holdings SA (Luxembourg)(a)		6.625	%	12/15/2022		10,035		9,382,725
Intelsat Luxembourg SA (Luxembourg)(a)		7.75	%	6/1/2021		11,616		10,527,000
Total								34,861,552
Telecommunications: Wireless 2.35%
Comcel Trust via Comunicaciones Celulares SA†		6.875	%	2/6/2024		13,900		14,942,500
Digicel Group Ltd. (Jamaica)†(a)		7.125	%	4/1/2022		8,435		8,224,125
Digicel Ltd. (Jamaica)†(a)		6.75	%	3/1/2023		5,710		5,681,450
SBA Communications Corp.†		4.875	%	7/15/2022		8,300		8,378,435
T-Mobile USA, Inc.		6.50	%	1/15/2024		1,943		2,054,723
T-Mobile USA, Inc.		6.625	%	11/15/2020		3,950		4,147,500

See Notes to Financial Statements. 63

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Telecommunications: Wireless (continued)
T-Mobile USA, Inc.		6.731	%		4/28/2022	$	14,805	$	15,804,337
T-Mobile USA, Inc.		6.836	%		4/28/2023		22,736		24,270,680
Wind Acquisition Finance SA (Italy)†(a)		4.75	%		7/15/2020		4,750		4,797,500
Wind Acquisition Finance SA (Italy)†(a)		7.375	%		4/23/2021		16,625		17,373,125
Total									105,674,375
Theaters & Entertainment 0.42%
Activision Blizzard, Inc.†		5.625	%		9/15/2021		12,185		13,053,181
Production Resource Group, Inc.		8.875	%		5/1/2019		7,545		6,017,138
Total									19,070,319
Transportation: Infrastructure/Services 0.87%
Dynagas LNG Partners LP/Dynagas Finance, Inc. (Greece)(a)		6.25	%		10/30/2019		9,492		8,590,260
GasLog Ltd.†(b)		7.00	%	#	6/27/2018	NOK	29,000		3,890,301
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(a)		5.875	%		8/12/2020		4,780		5,109,581
Overseas Shipholding Group, Inc.		8.125	%		3/30/2018		4,186		4,382,219
Stena AB (Sweden)†(a)		7.00	%		2/1/2024		1,216		1,179,520
Ultrapetrol Bahamas Ltd. (Bahamas)(a)		8.875	%		6/15/2021		6,354		5,877,450
XPO Logistics, Inc.†		7.875	%		9/1/2019		9,525		10,263,187
Total									39,292,518
Trucking & Delivery 0.14%
DH Services Luxembourg Sarl (Luxembourg)†(a)		7.75	%		12/15/2020		5,990		6,319,450
Total High Yield Corporate Bonds (cost $3,545,559,087)									3,560,655,499
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.41%
CGBAM Commercial Mortgage Trust 2015-SMRT F†		3.912	%	#	4/10/2028		7,500		7,302,420
Citigroup Commercial Mortgage Trust 2015-101A F†		4.625	%	#	1/14/2043		19,000		14,361,422
Citigroup Commercial Mortgage Trust 2015-101A G†		4.625	%	#	1/14/2043		4,000		2,883,487
JPMorgan Chase Commercial Mortgage Securities Trust 2015-CSMO E†		4.136	%	#	1/15/2032		5,250		5,283,230
Merrill Lynch Mortgage Trust 2006-C1 F†		5.676	%	#	5/12/2039		10,500		1,325,315
Morgan Stanley Capital I Trust 2005-IQ9 G†		5.51	%		7/15/2056		2,000		2,082,958
Motel 6 Trust 2015-MTL6 E†		5.279	%		2/5/2030		5,750		5,782,315
Motel 6 Trust 2015-MTL6 F†		5.00	%		2/5/2030		9,750		9,542,076
Wachovia Bank Commercial Mortgage Trust 2006-WL7A J†		0.786	%	#	9/15/2021		15,876		15,093,885
Total Non-Agency Commercial Mortgage-Backed Securities (cost $63,550,502)									63,657,108

64 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

	Dividend			Maturity	Shares		Fair
Investments		Rate		Date		(000)		Value
PREFERRED STOCK 0.09%
Energy: Exploration & Production
Southwestern Energy Co. (cost $4,749,739)		6.25	%			77	$	4,268,063
Total Long-Term Investments (cost $4,408,045,152)								4,439,721,251
					Principal
		Interest			Amount
		Rate			(000)
SHORT-TERM INVESTMENTS 1.98%
CONVERTIBLE BOND 0.10%
Pharmaceuticals
Mylan, Inc. (cost $4,273,715)		3.75	%	9/15/2015	$	818		4,454,521
FLOATING RATE LOAN(c) 0.33%
Auto Parts & Equipment
UC Holdings, Inc. Incremental Exit Term Loan		–	(d)	12/14/2015		1,474		1,488,331
UC Holdings, Inc. Initial Term Loan		10.00	%	12/14/2015		2,877		2,905,680
Total								4,394,011
Software/Services
SS&C Technologies, Inc./Sunshine Acquisition II,
Inc. Debt Bridge Facility Term Loan		–	(d)	2/19/2016		10,500		10,500,000
Total Floating Rate Loans ($15,167,349)								14,894,011
REPURCHASE AGREEMENT 1.55%
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $63,495,000 of U.S. Treasury Note at 3.625% due 2/15/2021; value: $70,955,663; proceeds: $69,562,774 (cost $69,562,774)						69,563		69,562,774
Total Short-Term Investments (cost $89,003,838)								88,911,306
Total Investments in Securities 100.57% (cost $4,497,048,990)								4,528,632,557
Liabilities in Excess of Cash, Foreign Cash, and Other Assets(j) (0.57%)								(25,847,215	)
Net Assets 100.00%							$	4,502,785,342

AUD	Australian dollar.
CAD	Canadian dollar.
EUR	euro.
GBP	British pound.
NOK	Norwegian krone.
PIK	Payment-in-kind.

See Notes to Financial Statements. 65

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

Units More than one class of securities traded together.

†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
#	Variable rate security. The interest rate represents the rate in effect at May 31, 2015.
*	Non-income producing security.
(a)	Foreign security traded in U.S. dollars.
(b)	Investment in non-U.S. dollar denominated securities.
(c)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2015.
(d)	Interest rate to be determined.
(e)	Defaulted security.
(f)	Security is perpetual in nature and has no stated maturity.
(g)	Stub Rights issued in connection with a plan of reorganization.
(h)	Securities purchased on a when-issued basis (See Note 2(i)).
(i)	Security has been fully or partially segregated for open reverse repurchase agreements as of May 31, 2015 (See Note 2(m)).
(j)	Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on credit default swaps, forward foreign currency exchange contracts, futures contracts and reverse repurchase agreements as follows:

Credit Default Swaps–Sell Protection at May 31, 2015⁽¹⁾:

Credit

Default Swap

Agreements

Referenced

Fund

Termination

Notional

Fair

Payments

Unrealized

Receivable at

Issuer

Receives

Date

Amount

Value(2)

Upfront(3)

Appreciation

Fair Value(4)

New Albertson’s, Inc.(5)

5.00

%

3/20/2019

$

3,000,000

$3,302,357

$79,466

$381,822

$302,357

(1)	If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities.
(2)	Fair value serves as the indicator of the current status of payment/performance risk.
(3)	Upfront payments received are presented net of amortization (See Note 2(p)).
(4)	Includes upfront payments received.
(5)	Swap Counterparty: Citibank.

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward
Foreign						U.S. $
Currency						Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign		Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency		Date		Value		Appreciation
British pound	Buy	Morgan Stanley	7/20/2015		827,000	$	1,258,080	$	1,263,548	$	5,468
Australian dollar	Sell	UBS AG	6/29/2015		1,175,000		915,969		897,055		18,914
Canadian dollar	Sell	Morgan Stanley	8/19/2015		1,400,000		1,152,114		1,124,419		27,695
Canadian dollar	Sell	Morgan Stanley	8/19/2015		800,000		667,572		642,525		25,047
Canadian dollar	Sell	Morgan Stanley	8/19/2015		900,000		745,099		722,841		22,258
Canadian dollar	Sell	Morgan Stanley	8/19/2015		1,900,000		1,565,331		1,525,997		39,334
Canadian dollar	Sell	Morgan Stanley	8/19/2015		1,200,000		988,099		963,787		24,312
Canadian dollar	Sell	Morgan Stanley	8/19/2015		124,000		102,825		99,591		3,234
Canadian dollar	Sell	Morgan Stanley	8/19/2015		11,435,000		9,482,800		9,184,091		298,709
Canadian dollar	Sell	Morgan Stanley	8/19/2015		845,000		700,008		678,667		21,341
Canadian dollar	Sell	Morgan Stanley	8/19/2015		341,000		281,531		273,876		7,655
euro	Sell	J.P. Morgan	8/13/2015		465,000		531,153		511,222		19,931
euro	Sell	Morgan Stanley	8/13/2015		67,400,000		75,173,491		74,099,785		1,073,706
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts										$	1,587,604

66 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

Forward
Foreign						U.S. $
Currency						Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign		Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency		Date		Value		Depreciation
British pound	Buy	Morgan Stanley	7/20/2015		349,000	$	546,076	$	533,226	$	(12,850	)
euro	Buy	Morgan Stanley	7/28/2015		1,500,000		1,649,252		1,648,717		(535	)
British pound	Sell	J.P. Morgan	7/20/2015		39,970,000		59,502,336		61,068,912		(1,566,576	)
Canadian dollar	Sell	Morgan Stanley	8/19/2015		795,000		634,915		638,509		(3,594	)
euro	Sell	J.P. Morgan	7/28/2015		1,800,000		1,959,023		1,978,460		(19,437	)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts										$	(1,602,992	)

Open Futures Contracts at May 31, 2015:

							Unrealized
Type	Expiration	Contracts		Position	Fair Value		Appreciation
U.S. 5-Year Treasury Note	September 2015		1,418	Long		$169,772,266		$518,177

Reverse Repurchase Agreements Payable as of May 31, 2015:

			Collateral
			Held by	Interest			Trade	Maturity	Fair
Counterparty	Principal		Counterparty	Rate(1)			Date	Date(2	Value(3)
J.P. Morgan	$	3,204,423	$7,640,000 principal, Walter Energy, Inc. at 9.50% due 10/15/2019, $4,259,300 fair value		(5.75	)%	5/20/2015	On Demand	$	3,198,281

(1)	The negative interest rate on the reverse repurchase agreement results in interest income to the Fund.
(2)	This reverse repurchase agreement has no stated maturity and may be terminated by either party at any time.
(3)	Total fair value of reverse repurchase agreements is presented net of interest receivable of $6,142.

See Notes to Financial Statements. 67

Schedule of Investments (unaudited)(continued)

HIGH YIELD FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	–	$	5,503,437	$	–	$	5,503,437
Common Stocks
Electric: Generation		–		3,370,572		–		3,370,572
Investments & Miscellaneous Financial Services		–		–		1,116,000		1,116,000
Metals/Mining (Excluding Steel)(3)		–		821,207		–		821,207
Specialty Retail		29,519,716		5,284,741		–		34,804,457
Remaining Industries		298,127,794		–		–		298,127,794
Convertible Bonds		–		73,144,437		–		73,144,437
Floating Rate Loans(4)
Aerospace/Defense		–		4,224,895		–		4,224,895
Auto Parts & Equipment		–		6,862,346		4,394,011		11,256,357
Chemicals		–		8,424,001		–		8,424,001
Diversified Capital Goods		–				5,075,000		5,075,000
Electric: Generation		–		18,720,433		13,723,830		32,444,263
Energy: Exploration & Production		–		40,470,259		–		40,470,259
Food: Wholesale		–		4,349,718		–		4,349,718
Gaming		–		19,425,896		–		19,425,896
Gas Distribution		–				4,309,670		4,309,670
Health Services		–		2,688,468		–		2,688,468
Investments & Miscellaneous Financial Services		–		3,003,491		–		3,003,491
Machinery		–		11,440,752		–		11,440,752
Media: Content		–		8,999,623		–		8,999,623
Media: Diversified		–		6,240,938		–		6,240,938
Metals/Mining (Excluding Steel)		–		4,427,711		–		4,427,711
Oil Field Equipment & Services		–		6,782,120		–		6,782,120
Packaging		–		4,257,750		–		4,257,750
Personal & Household Products		–		4,993,376		–		4,993,376
Recreation & Travel		–		9,440,642		–		9,440,642
Software/Services		–		29,375,069		–		29,375,069
Specialty Retail		–		15,831,258		–		15,831,258
Support: Services		–		25,355,939		1,888,573		27,244,512
Technology Hardware & Equipment		–		7,035,629		–		7,035,629
Foreign Bonds		–		127,949,097		–		127,949,097
Foreign Government Obligations		–		13,910,714		–		13,910,714
High Yield Corporate Bonds
Automakers		–		9,558,850		850		9,559,700
Banking		–		102,991,826		1,000		102,992,826
Chemicals		–		50,043,555		19,406		50,062,961
Metals/Mining (Excluding Steel)		–		138,051,420		5		138,051,425
Remaining Industries		–		3,259,988,587		–		3,259,988,587
Non-Agency Commercial Mortgage-Backed Securities		–		63,657,108		–		63,657,108
Preferred Stock		4,268,063		–		–		4,268,063
Repurchase Agreement		–		69,562,774		–		69,562,774
Total	$	331,915,573	$	4,166,188,639	$	30,528,345	$	4,528,632,557

68 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

HIGH YIELD FUND May 31, 2015

Investment Type(2)	Level 1		Level 2			Level 3		Total
Other Financial Instruments
Credit Default Swap
Assets	$	–	$	302,357		$	–	$	302,357
Liabilities		–		–			–		–
Forward Foreign Currency
Exchange Contracts
Assets		–		1,587,604			–		1,587,604
Liabilities		–		(1,602,992	)		–		(1,602,992	)
Futures Contracts
Assets		518,177		–			–		518,177
Liabilities		–		–			–		–
Reverse Repurchase Agreement
Assets		–		–			–		–
Liabilities		–		(3,198,281	)		–		(3,198,281	)
Total	$	518,177	$	(2,911,312	)	$	–	$	(2,393,135	)

(1)	Refer to Note 2(r) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.
(3)	As of May 31, 2015, Mirabela Nickel Ltd. was categorized as Level 2 due to limited market activity resulting in observable input pricing. During the period ended May 31, 2015, $256,324 was transferred from Level 1 to Level 2.
(4)	Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer.

Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

	Common		Floating Rate			High Yield
Investment Type	Stocks		Loans			Corporate Bonds
Balance as of December 1, 2014	$	1,116,000	$	47,317,370		$	52,181
Accrued discounts/premiums		–		81,532			–
Realized gain (loss)		–		89,477			(61,306	)
Change in unrealized appreciation/depreciation		–		119,852			36,870
Purchases		–		23,719,318			–
Sales		–		(21,727,442	)		(99,634	)
Net transfers in or out of Level 3		–		(20,209,023	)		93,150
Balance as of May 31, 2015	$	1,116,000	$	29,391,084		$	21,261

See Notes to Financial Statements. 69

Schedule of Investments (unaudited)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
LONG-TERM INVESTMENTS 97.11%
ASSET-BACKED SECURITIES 15.59%
Automobiles 5.49%
AmeriCredit Automobile Receivables Trust 2013-5 A2A		0.65	%	3/8/2017	$	585	$	584,553
AmeriCredit Automobile Receivables Trust 2013-5 A3		0.90	%	9/10/2018		2,340		2,342,807
Avis Budget Rental Car Funding AESOP LLC 2011-3A A†		3.41	%	11/20/2017		1,800		1,852,664
Avis Budget Rental Car Funding AESOP LLC 2011-5A A†		3.27	%	2/20/2018		1,804		1,860,030
Avis Budget Rental Car Funding AESOP LLC 2012-2A A†		2.802	%	5/20/2018		5,428		5,564,227
Avis Budget Rental Car Funding AESOP LLC 2013-2A A†		2.97	%	2/20/2020		1,759		1,813,462
Avis Budget Rental Car Funding AESOP LLC 2014-1A A†		2.46	%	7/20/2020		1,805		1,824,783
Avis Budget Rental Car Funding AESOP LLC 2014-2A A†		2.50	%	2/20/2021		1,287		1,298,053
Avis Budget Rental Car Funding AESOP LLC 2015-2A A†		2.63	%	12/20/2021		3,527		3,526,295
BMW Vehicle Lease Trust 2015-1 A3		1.24	%	12/20/2017		7,055		7,074,574
California Republic Auto Receivables Trust 2014-1 A3		0.85	%	5/15/2018		1,300		1,300,805
California Republic Auto Receivables Trust 2015-2 A4(a)		1.75	%	1/15/2021		11,090		11,096,931
California Republic Auto Receivables Trust 2015-2 B(a)		2.53	%	6/15/2021		5,359		5,353,976
Capital Auto Receivables Asset Trust 2015-2 A1A		0.99	%	10/20/2017		6,888		6,889,336
Capital Auto Receivables Asset Trust 2015-2 A2		1.39	%	9/20/2018		2,888		2,889,866
CarMax Auto Owner Trust 2013-3 A3		0.97	%	4/16/2018		1,437		1,440,522
CarMax Auto Owner Trust 2013-4 A2		0.52	%	11/15/2016		598		597,580
CarMax Auto Owner Trust 2013-4 A3		0.80	%	7/16/2018		1,870		1,871,223
CarMax Auto Owner Trust 2015-2 A2A		0.82	%	6/15/2018		1,918		1,919,067
CarMax Auto Owner Trust 2015-2 A4		1.80	%	3/15/2021		3,711		3,726,779
Chrysler Capital Auto Receivables Trust 2013-AA A3†		0.91	%	4/16/2018		873		874,215
Chrysler Capital Auto Receivables Trust 2014-BA A3†		1.27	%	5/15/2019		5,525		5,540,180
Drive Auto Receivables Trust 2015-BA B†		2.12	%	6/17/2019		2,230		2,235,602

70 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)		Fair Value
Automobiles (continued)
Ford Credit Auto Owner Trust 2012-D A3		0.51	%		4/15/2017	$	1,998	$	1,998,508
Ford Credit Auto Owner Trust 2014-B A3		0.90	%		10/15/2018		11,882		11,903,661
GM Financial Automobile Leasing Trust 2014-2A A3†		1.22	%		1/22/2018		6,940		6,946,780
Harley-Davidson Motorcycle Trust 2015-2 A4		1.66	%		12/15/2022		1,769		1,768,823
Honda Auto Receivables Owner Trust 2013-1 A3		0.48	%		11/21/2016		1,062		1,062,040
Honda Auto Receivables Owner Trust 2013-2 A3		0.53	%		2/16/2017		2,031		2,030,592
Honda Auto Receivables Owner Trust 2013-4 A3		0.69	%		9/18/2017		4,216		4,218,924
Hyundai Auto Lease Securitization Trust 2013-A A3†		0.66	%		6/15/2016		353		353,297
Hyundai Auto Lease Securitization Trust 2014-A A2†		0.52	%		7/15/2016		268		267,506
Hyundai Auto Receivables Trust 2013-A A3		0.56	%		7/17/2017		1,007		1,006,851
Mercedes-Benz Auto Lease Trust 2013-B A3		0.62	%		7/15/2016		1,626		1,625,847
Nissan Auto Lease Trust 2013-A A3		0.61	%		4/15/2016		4,501		4,501,043
Nissan Auto Receivables Owner Trust 2013-A A3		0.50	%		5/15/2017		975		974,909
Porsche Innovative Lease Owner Trust 2013-1 A3†		0.70	%		8/22/2016		1,760		1,761,042
Porsche Innovative Lease Owner Trust 2014-1 A3†		1.03	%		11/20/2017		2,585		2,591,699
Santander Drive Auto Receivables Trust 2013-1 A3		0.62	%		6/15/2017		302		301,794
Santander Drive Auto Receivables Trust 2013-4 A3		1.11	%		12/15/2017		1,051		1,051,847
Santander Drive Auto Receivables Trust 2014-1 A2A		0.66	%		6/15/2017		702		701,533
World Omni Automobile Lease Securitization Trust 2013-A A2A		0.73	%		5/16/2016		1,350		1,350,647
World Omni Automobile Lease Securitization Trust 2014-A A3		1.16	%		9/15/2017		1,795		1,802,517
Total									121,697,390
Credit Cards 4.38%
American Express Credit Account Master Trust 2012-2 A		0.68	%		3/15/2018		3,500		3,501,437
American Express Credit Account Master Trust 2013-1 A		0.606	%	#	2/16/2021		3,825		3,842,188
Capital One Multi-Asset Execution Trust 2014-A2		1.26	%		1/15/2020		5,510		5,540,120
Capital One Multi-Asset Execution Trust 2015-A3		0.595	%	#	3/15/2023		7,563		7,573,036
Chase Issuance Trust 2006-A2		5.16	%		4/16/2018		5,299		5,471,694
Chase Issuance Trust 2012-A3		0.79	%		6/15/2017		6,085		6,085,955
Chase Issuance Trust 2012-A5		0.59	%		8/15/2017		4,900		4,901,081
Chase Issuance Trust 2012-A8		0.54	%		10/16/2017		2,410		2,410,366
Chase Issuance Trust 2014-A6		1.26	%		7/15/2019		7,465		7,484,543
Citibank Credit Card Issuance Trust 2003-A7		4.15	%		7/7/2017		6,000		6,023,337
Citibank Credit Card Issuance Trust 2006-A3		5.30	%		3/15/2018		4,330		4,491,628
Citibank Credit Card Issuance Trust 2013-A4		0.605	%	#	7/24/2020		1,245		1,249,462
Citibank Credit Card Issuance Trust 2013-A6		1.32	%		9/7/2018		6,992		7,043,695

See Notes to Financial Statements. 71

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)		Fair Value
Credit Cards (continued)
Synchrony Credit Card Master Note Trust 2011-2 A		0.666	%	#	5/15/2019	$	5,900	$	5,911,160
Synchrony Credit Card Master Note Trust 2012-5 A		0.95	%		6/15/2018		8,070		8,071,493
Synchrony Credit Card Master Note Trust 2012-6 A		1.36	%		8/17/2020		5,200		5,209,901
World Financial Network Credit Card Master Trust 2013-B A		0.91	%		3/16/2020		12,429		12,448,327
Total									97,259,423
Other 5.72%
Apollo Credit Funding IV Ltd. 4A A1†		1.725	%	#	4/15/2027		3,000		2,985,367
Avenue CLO VI Ltd. 2007-6A A2†		0.624	%	#	7/17/2019		3,000		2,978,474
Avery Point IV CLO Ltd. 2014-1A A†		1.797	%	#	4/25/2026		5,000		5,009,956
BlueMountain CLO Ltd. 2014-3A A1†		1.727	%	#	10/15/2026		3,000		2,992,013
Carlyle Global Market Strategies 2015-2A A1†		1.744	%	#	4/27/2027		3,000		2,990,712
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1†		1.752	%	#	10/15/2026		2,000		2,002,649
CIFC Funding I Ltd. 2013-1A A1†		1.404	%	#	4/16/2025		4,755		4,689,183
CIFC Funding II Ltd. 2014-2A A1L†		1.762	%	#	5/24/2026		4,250		4,251,733
CNH Equipment Trust 2015-B A4		1.89	%		4/15/2022		2,230		2,229,554
Dryden XXIII Senior Loan Fund 2012-23RA A1R†		1.525	%	#	7/17/2023		5,000		4,972,306
Fortress Credit BSL II Ltd. 2013-2A A1F†		1.775	%	#	10/19/2025		4,500		4,485,797
Galaxy XVIII CLO Ltd. 2014-18A A†		1.733	%	#	10/15/2026		4,750		4,735,139
Gleneagles CLO Ltd. 2005-1A B†		0.828	%	#	11/1/2017		4,050		4,021,219
GMF Floorplan Owner Revolving Trust 2015-1 A1†		1.65	%		5/15/2020		3,292		3,297,957
HLSS Servicer Advance Receivables Trust 2012-T2 A2†		1.99	%		10/15/2045		9,195		9,195,326
JFIN Revolver CLO Ltd. 2014-2A A2†		1.576	%	#	2/20/2022		4,000		3,982,500
JFIN Revolver CLO Ltd. 2015-4A A†		1.424	%	#	4/22/2020		2,000		1,990,420
Leaf Receivables Funding 10 LLC 2015-1 A4†		2.03	%		8/17/2020		3,275		3,281,354
Madison Park Funding IX Ltd. 2012-9AR B1R†		2.15	%	#	8/15/2022		4,550		4,553,086
Oaktree CLO Ltd. 2014-2A A1A†		1.805	%	#	10/20/2026		3,500		3,497,310
Octagon Investment Partners XIX Ltd. 2014-1A A†		1.773	%	#	4/15/2026		3,175		3,181,394
Octagon Loan Funding Ltd. 2014-1A A1†		1.726	%	#	11/18/2026		2,500		2,497,626
OHA Loan Funding Ltd. 2015-1A A†		1.769	%	#	2/15/2027		6,000		5,979,391
OZLM VII Ltd. 2014-7A A1B†		1.764	%	#	7/17/2026		3,500		3,503,030
Shackleton CLO Ltd. 2014-5A A†		1.776	%	#	5/7/2026		3,200		3,203,854
SLM Private Education Loan Trust 2011-B A1†		1.036	%	#	12/16/2024		1,934		1,938,821
SLM Private Education Loan Trust 2012-C A1†		1.286	%	#	8/15/2023		3,924		3,940,880
SLM Private Education Loan Trust 2012-E A1†		0.936	%	#	10/16/2023		1,985		1,990,004
Stone Tower CLO VI Ltd. 2007-6A A2B†		0.594	%	#	4/17/2021		2,000		1,959,164

72 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
Treman Park CLO LLC 2015-1A A†		1.761	%	#	4/20/2027	$	3,000	$	2,996,606
Venture XVII CLO Ltd. 2014-17A A†		1.755	%	#	7/15/2026		6,000		5,984,744
Venture XVIII CLO Ltd. 2014-18A A†		1.725	%	#	10/15/2026		2,250		2,240,892
Voya CLO Ltd. 2012-3AR AR†		1.615	%	#	10/15/2022		3,000		3,000,000
Voya CLO Ltd. 2015-1A A1†		1.755	%	#	4/18/2027		3,000		2,974,233
Westchester CLO Ltd. 2007-1A A1A†		0.503	%	#	8/1/2022		3,329		3,305,098
Total									126,837,792
Total Asset-Backed Securities (cost $345,749,273)									345,794,605
CONVERTIBLE BONDS 0.00%
Oil
Oleo e Gas Participacoes SA (Brazil)(b)(c)		10.00	%		6/1/2016	BRL	23		9,068
Oleo e Gas Participacoes SA (Brazil)(b)(c)		10.00	%		6/1/2016	BRL	18		7,167
Total Convertible Bonds (cost $128,732)									16,235
CORPORATE BONDS 70.79%
Aerospace/Defense 0.40%
Exelis, Inc.		5.55	%		10/1/2021	$	7,800		8,773,534
Air Transportation 0.11%
American Airlines 2013-2 Class B Pass-Through Trust†		5.60	%		7/15/2020		2,281		2,377,656
Apparel 0.32%
PVH Corp.		7.75	%		11/15/2023		5,967		7,070,895
Auto Parts: Original Equipment 0.52%
Accuride Corp.		9.50	%		8/1/2018		1,931		1,998,585
Hertz Corp. (The)		7.375	%		1/15/2021		45		47,306
Hertz Corp. (The)		7.50	%		10/15/2018		4,768		4,946,800
International Automotive Components Group SA (Luxembourg)†(d)		9.125	%		6/1/2018		2,000		2,070,000
Schaeffler Holding Finance BV PIK (Netherlands)†(d)		6.875	%		8/15/2018		2,450		2,554,125
Total									11,616,816
Automotive 1.16%
Ford Motor Co.		6.375	%		2/1/2029		7,250		8,904,406
Ford Motor Co.		6.625	%		10/1/2028		4,575		5,748,131
Ford Motor Co.		7.45	%		7/16/2031		2,750		3,591,841
General Motors Co.		5.00	%		4/1/2035		2,543		2,577,623

See Notes to Financial Statements. 73

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date		Principal Amount (000)		Fair Value
Automotive (continued)
General Motors Financial Co., Inc.		4.00	%	1/15/2025		$	4,950	$	4,927,626
Total									25,749,627
Banks: Money Center 0.74%
Bank of America Corp.		6.25	%	–	(e)		8,160		8,333,400
Barclays plc (United Kingdom)(d)		3.65	%	3/16/2025			6,800		6,670,147
Santander Bank NA		8.75	%	5/30/2018			1,000		1,172,220
Zions Bancorporation		4.50	%	6/13/2023			272		285,199
Total									16,460,966
Banks: Regional 3.26%
Bank of New York Mellon Corp. (The)		4.95	%	–	(e)		6,900		6,908,625
Citigroup, Inc.		5.95	%	–	(e)		11,563		11,546,202
Credit Suisse Group Funding Guernsey Ltd. (Guernsey)†(d)		3.75	%	3/26/2025			5,000		4,944,440
Goldman Sachs Group, Inc. (The)		5.95	%	1/15/2027			8,215		9,511,697
Goldman Sachs Group, Inc. (The)		6.75	%	10/1/2037			4,330		5,334,309
HBOS plc (United Kingdom)†(d)		6.00	%	11/1/2033			5,700		6,446,854
JPMorgan Chase & Co.		6.75	%	–	(e)		6,515		7,109,494
Macquarie Bank Ltd. (Australia)†(d)		6.625	%	4/7/2021			5,946		6,973,504
Popular, Inc.		7.00	%	7/1/2019			1,250		1,285,938
Wells Fargo & Co.		4.10	%	6/3/2026			4,909		5,073,113
Wells Fargo & Co.		5.875	%	–	(e)		6,925		7,288,562
Total									72,422,738
Beverages 0.28%
Beam Suntory, Inc.		6.625	%	7/15/2028			755		888,397
Central American Bottling Corp. (Guatemala)†(d)		6.75	%	2/9/2022			4,920		5,252,100
Total									6,140,497
Biotechnology Research & Production 0.84%
Amgen, Inc.		6.40	%	2/1/2039			15,251		18,699,800
Broadcasting 1.20%
21st Century Fox America, Inc.		6.75	%	1/9/2038			13,671		17,402,923
21st Century Fox America, Inc.		6.90	%	8/15/2039			1,000		1,313,479
Cox Communications, Inc.†		8.375	%	3/1/2039			5,853		7,855,546
Total									26,571,948
Brokers 0.62%
Jefferies Group LLC		6.875	%	4/15/2021			11,895		13,754,783

74 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Building Materials 0.19%
Cementos Pacasmayo SAA (Peru)†(d)		4.50	%	2/8/2023	$	2,000	$	1,940,400
Owens Corning		9.00	%	6/15/2019		1,838		2,213,492
Total								4,153,892
Business Services 0.87%
Chicago Parking Meters LLC†		5.489	%	12/30/2020		3,147		3,422,526
Expedia, Inc.		4.50	%	8/15/2024		7,500		7,687,830
Expedia, Inc.		5.95	%	8/15/2020		3,955		4,446,954
Jaguar Holding Co. I PIK†		9.375	%	10/15/2017		3,350		3,433,750
Jaguar Holding Co. II/Jaguar Merger Sub, Inc.†		9.50	%	12/1/2019		275		295,969
Total								19,287,029
Cable Services 1.05%
Historic TW, Inc.		9.15	%	2/1/2023		4,176		5,669,605
Time Warner Cable, Inc.		6.55	%	5/1/2037		3,785		4,099,087
Time Warner Cable, Inc.		7.30	%	7/1/2038		11,581		13,542,636
Total								23,311,328
Chemicals 1.40%
Dow Chemical Co. (The)		9.40	%	5/15/2039		750		1,175,515
Grupo Idesa SA de CV (Mexico)†(d)		7.875	%	12/18/2020		2,800		2,940,000
Methanex Corp. (Canada)(d)		5.25	%	3/1/2022		2,222		2,417,932
Montell Finance Co. BV (Netherlands)†(d)		8.10	%	3/15/2027		9,245		12,571,693
NewMarket Corp.		4.10	%	12/15/2022		4,000		4,111,880
Yara International ASA (Norway)†(d)		7.875	%	6/11/2019		6,642		7,805,353
Total								31,022,373
Coal 0.10%
Penn Virginia Corp.		7.25	%	4/15/2019		1,031		927,900
Penn Virginia Corp.		8.50	%	5/1/2020		1,469		1,395,550
Total								2,323,450
Communications & Media 0.04%
Digicel Ltd. (Jamaica)†(d)		6.75	%	3/1/2023		924		919,380
Communications Equipment 0.09%
Harris Corp.		4.854	%	4/27/2035		2,000		1,977,918
Communications Services 0.16%
CenturyLink, Inc.		6.875	%	1/15/2028		3,500		3,535,000

See Notes to Financial Statements. 75

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Communications Technology 0.15%
Motorola Solutions, Inc.		3.75	%	5/15/2022	$	3,235	$	3,238,190
Computer Hardware 0.70%
Dell, Inc.		7.10	%	4/15/2028		3,550		3,896,125
DynCorp International, Inc.		10.375	%	7/1/2017		460		365,700
Leidos, Inc.		7.125	%	7/1/2032		3,270		3,339,916
Seagate HDD Cayman†		4.875	%	6/1/2027		7,875		7,972,091
Total								15,573,832
Computer Software 0.85%
Aspect Software, Inc.		10.625	%	5/15/2017		2,040		1,846,200
First Data Corp.†		7.375	%	6/15/2019		3,015		3,143,137
First Data Corp.		12.625	%	1/15/2021		2,280		2,676,150
Infor US, Inc.†		6.50	%	5/15/2022		2,130		2,218,182
Sophia LP/Sophia Finance, Inc.†		9.75	%	1/15/2019		3,000		3,221,250
SRA International, Inc.		11.00	%	10/1/2019		2,558		2,724,270
SunGard Data Systems, Inc.		6.625	%	11/1/2019		975		1,021,313
SunGard Data Systems, Inc.		7.375	%	11/15/2018		1,900		1,980,750
Total								18,831,252
Construction/Homebuilding 0.04%
Odebrecht Finance Ltd.†		5.25	%	6/27/2029		900		797,130
Consumer Products 0.49%
Avon Products, Inc.		5.35	%	3/15/2020		7,125		6,483,750
Tupperware Brands Corp.		4.75	%	6/1/2021		4,015		4,298,182
Total								10,781,932
Containers 0.59%
Coveris Holdings SA (Luxembourg)†(d)		7.875	%	11/1/2019		2,625		2,697,188
Crown Cork & Seal Co., Inc.		7.375	%	12/15/2026		200		231,000
Crown Cork & Seal Co., Inc.		7.50	%	12/15/2096		4,875		4,826,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA		8.50	%	5/15/2018		4,600		4,697,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA		9.00	%	4/15/2019		500		522,500
Total								12,974,688
Copper 0.19%
Freeport-McMoRan Corp.		7.125	%	11/1/2027		2,150		2,475,445
Freeport-McMoRan Corp.		9.50	%	6/1/2031		1,053		1,325,051

76 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Copper (continued)
Southern Copper Corp. (Mexico)(d)		3.875	%	4/23/2025	$	427	$	418,896
Total								4,219,392
Data Product, Equipment & Communications 0.33%
Fidelity National Information Services, Inc.		5.00	%	3/15/2022		6,875		7,260,777
Diversified 0.42%
Alphabet Holding Co., Inc. PIK		7.75	%	11/1/2017		3,868		3,921,185
Hutchison Whampoa International 14 Ltd. (Hong Kong)†(d)		3.625	%	10/31/2024		1,190		1,215,061
James Hardie International Finance Ltd. (Ireland)†(d)		5.875	%	2/15/2023		4,000		4,180,000
Total								9,316,246
Drugs 2.12%
AbbVie, Inc.		4.50	%	5/14/2035		5,895		5,954,876
Actavis Funding SCS (Luxembourg)(d)		4.55	%	3/15/2035		16,850		16,758,774
Capsugel SA PIK (Luxembourg)†(d)		7.00	%	5/15/2019		4,375		4,481,641
Express Scripts Holding Co.		6.125	%	11/15/2041		5,500		6,742,725
Mylan, Inc.†		7.875	%	7/15/2020		3,640		3,813,104
Par Pharmaceutical Cos., Inc.		7.375	%	10/15/2020		1,965		2,107,462
Perrigo Finance plc (Ireland)(d)		3.90	%	12/15/2024		5,250		5,366,476
Perrigo Finance plc (Ireland)(d)		4.90	%	12/15/2044		1,100		1,116,866
Valeant Pharmaceuticals International, Inc.†		7.00	%	10/1/2020		716		750,905
Total								47,092,829
Electric: Power 1.70%
AES El Salvador Trust II†		6.75	%	3/28/2023		1,060		1,022,900
American Transmission Systems, Inc.†		5.00	%	9/1/2044		3,018		3,253,977
Appalachian Power Co.		7.00	%	4/1/2038		2,985		3,954,125
CEZ AS (Czech Republic)†(d)		4.25	%	4/3/2022		1,700		1,810,299
Dominion Resources, Inc.		5.75	%	10/1/2054		6,940		7,451,249
Duquesne Light Holdings, Inc.		6.25	%	8/15/2035		2,650		3,034,367
E.CL SA (Chile)†(d)		4.50	%	1/29/2025		850		884,294
Entergy Corp.		5.125	%	9/15/2020		3,368		3,712,577
Exelon Generation Co. LLC		6.25	%	10/1/2039		6,250		7,318,575
Lamar Funding Ltd.†		3.958	%	5/7/2025		1,500		1,507,500
NiSource Finance Corp.		6.25	%	12/15/2040		1,000		1,244,371
Red Oak Power LLC		8.54	%	11/30/2019		2,252		2,409,453
Total								37,603,687

See Notes to Financial Statements. 77

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Electronics 0.25%
PerkinElmer, Inc.		5.00	%	11/15/2021	$	4,950	$	5,517,027
Electronics: Semi-Conductors/Components 0.50%
Freescale Semiconductor, Inc.		10.75	%	8/1/2020		588		629,895
KLA-Tencor Corp.		4.65	%	11/1/2024		7,250		7,439,544
Lam Research Corp.		3.80	%	3/15/2025		3,025		3,012,192
Total								11,081,631
Energy Equipment & Services 1.04%
Cameron International Corp.		7.00	%	7/15/2038		1,952		2,320,407
Energy Transfer Partners LP		6.625	%	10/15/2036		4,080		4,520,187
Energy Transfer Partners LP		7.50	%	7/1/2038		5,000		6,079,725
Energy Transfer Partners LP		8.25	%	11/15/2029		1,966		2,602,707
IFM US Colonial Pipeline 2 LLC†		6.45	%	5/1/2021		6,975		7,623,389
Total								23,146,415
Engineering & Contracting Services 0.06%
New Enterprise Stone & Lime Co., Inc.		11.00	%	9/1/2018		1,500		1,353,750
Entertainment 1.57%
CCO Holdings LLC/CCO Holdings Capital Corp.		6.50	%	4/30/2021		2,500		2,634,375
CCO Holdings LLC/CCO Holdings Capital Corp.		7.00	%	1/15/2019		3,869		4,026,178
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp.†		8.875	%	4/15/2017		3,515		3,547,953
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.†		9.50	%	6/15/2019		1,600		1,688,000
Seminole Tribe of Florida, Inc.†		6.535	%	10/1/2020		8,095		8,783,075
Shingle Springs Tribal Gaming Authority†		9.75	%	9/1/2021		1,350		1,518,750
Viacom, Inc.		6.875	%	4/30/2036		9,766		11,446,670
WMG Holdings Corp.†		13.75	%	10/1/2019		500		548,750
WMG Holdings Corp.		13.75	%	10/1/2019		600		658,500
Total								34,852,251
Financial Services 4.43%
Air Lease Corp.		3.875	%	4/1/2021		3,365		3,474,362
Air Lease Corp.		4.25	%	9/15/2024		1,817		1,844,255
Alliance Data Systems Corp.†		5.375	%	8/1/2022		1,098		1,108,980
Bank of America Corp.		4.20	%	8/26/2024		6,472		6,587,402
Bank of America Corp.		4.25	%	10/22/2026		3,150		3,177,733
Denali Borrower LLC/Denali Finance Corp.†		5.625	%	10/15/2020		5,917		6,294,209
Dun & Bradstreet Corp. (The)		4.375	%	12/1/2022		6,000		6,241,452

78 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date		Principal Amount (000)		Fair Value
Financial Services (continued)
General Electric Capital Corp.		7.125	%	–	(e)	$	11,500	$	13,455,000
Graton Economic Development Authority†		9.625	%	9/1/2019			400		437,000
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.		7.375	%	10/1/2017			1,500		1,571,250
Legacy Reserves LP/Legacy Reserves Finance Corp.		6.625	%	12/1/2021			1,595		1,339,800
Legacy Reserves LP/Legacy Reserves Finance Corp.		8.00	%	12/1/2020			1,200		1,044,000
Lender Processing Services, Inc.		5.75	%	4/15/2023			5,604		5,968,260
Macquarie Group Ltd. (Australia)†(d)		6.00	%	1/14/2020			2,953		3,357,977
Morgan Stanley		5.55	%	–	(e)		4,925		4,949,625
MU Finance plc (United Kingdom)†(d)		8.375	%	2/1/2017			3,322		3,409,142
Nationstar Mortgage LLC/Nationstar Capital Corp.		7.875	%	10/1/2020			2,000		2,037,500
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†		5.875	%	3/15/2022			6,825		7,362,469
ROC Finance LLC/ROC Finance 1 Corp.†		12.125	%	9/1/2018			2,318		2,504,889
Santander UK plc (United Kingdom)(d)		7.95	%	10/26/2029			6,980		9,100,950
Scottrade Financial Services, Inc.†		6.125	%	7/11/2021			10,600		11,581,486
Western Union Co. (The)		3.35	%	5/22/2019			1,370		1,409,853
Total									98,257,594
Financial: Miscellaneous 0.07%
CME Group, Inc.		5.30	%	9/15/2043			1,250		1,476,103
Food 1.63%
Bumble Bee Holdco SCA PIK (Luxembourg)†(d)		9.625	%	3/15/2018			790		817,650
Bumble Bee Holdings, Inc.†		9.00	%	12/15/2017			1,230		1,294,575
Diamond Foods, Inc.†		7.00	%	3/15/2019			1,015		1,053,063
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. (Greece)†(d)		9.875	%	2/1/2020			332		351,090
Flowers Foods, Inc.		4.375	%	4/1/2022			4,900		5,193,927
H.J. Heinz Finance Co.		6.75	%	3/15/2032			965		1,162,825
JBS USA LLC/JBS USA Finance, Inc.†		7.25	%	6/1/2021			984		1,044,516
JM Smucker Co. (The)†		4.25	%	3/15/2035			5,000		4,874,625
Kraft Foods Group, Inc.		6.875	%	1/26/2039			3,585		4,472,427
Shearer’s Foods LLC/Chip Finance Corp.†		9.00	%	11/1/2019			1,625		1,771,250
Southern States Cooperative, Inc.†		10.00	%	8/15/2021			656		619,920
Tesco plc (United Kingdom)†(d)		6.15	%	11/15/2037			4,050		4,123,313
US Foods, Inc.		8.50	%	6/30/2019			7,569		7,928,527
WhiteWave Foods Co. (The)		5.375	%	10/1/2022			1,370		1,483,025
Total									36,190,733

See Notes to Financial Statements. 79

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Gaming 0.82%
Activision Blizzard, Inc.†		6.125	%	9/15/2023	$	7,147	$	7,897,435
CCM Merger, Inc.†		9.125	%	5/1/2019		2,000		2,180,000
Mohegan Tribal Gaming Authority†		11.00	%	9/15/2018		4,068		4,093,425
Pinnacle Entertainment, Inc.		7.50	%	4/15/2021		1,350		1,439,438
Pinnacle Entertainment, Inc.		8.75	%	5/15/2020		2,481		2,598,847
Total								18,209,145
Health Care 0.39%
Zoetis, Inc.		3.25	%	2/1/2023		8,885		8,723,826
Health Care Products 1.34%
Biomet, Inc.		6.50	%	10/1/2020		5,185		5,452,287
Biomet, Inc.		6.50	%	8/1/2020		2,465		2,609,819
Forest Laboratories, Inc.†		4.375	%	2/1/2019		7,920		8,460,809
HCA, Inc.		7.50	%	11/6/2033		200		218,000
Immucor, Inc.		11.125	%	8/15/2019		2,885		3,079,738
Kinetic Concepts, Inc./KCI USA, Inc.		12.50	%	11/1/2019		1,000		1,095,000
Sterigenics-Nordion Holdings LLC†		6.50	%	5/15/2023		985		994,850
Zimmer Holdings, Inc.		4.25	%	8/15/2035		8,010		7,806,754
Total								29,717,257
Health Care Services 1.37%
Capella Healthcare, Inc.		9.25	%	7/1/2017		1,025		1,055,750
CHS/Community Health Systems, Inc.		8.00	%	11/15/2019		225		239,625
Emdeon, Inc.		11.00	%	12/31/2019		1,725		1,895,344
Fresenius Medical Care US Finance II, Inc.†		5.875	%	1/31/2022		6,295		6,861,550
IASIS Healthcare LLC/IASIS Capital Corp.		8.375	%	5/15/2019		3,150		3,301,594
Omega Healthcare Investors, Inc.		4.95	%	4/1/2024		1,315		1,375,845
Omega Healthcare Investors, Inc.		5.875	%	3/15/2024		2,873		3,066,927
Omega Healthcare Investors, Inc.		6.75	%	10/15/2022		5,692		5,983,715
Senior Housing Properties Trust		6.75	%	12/15/2021		5,741		6,648,313
Total								30,428,663
Hospital Management 0.02%
United Surgical Partners International, Inc.		9.00	%	4/1/2020		500		538,125
Household Equipment/Products 0.02%
Turkiye Sise ve Cam Fabrikalari AS (Turkey)†(d)		4.25	%	5/9/2020		375		370,793
Industrial Products 0.09%
PPL UK Distribution Holdings Ltd. (United Kingdom)†(d)		7.25	%	12/15/2017		1,750		1,917,181

80 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date		Principal Amount (000)		Fair Value
Insurance 3.15%
Alleghany Corp.		4.90	%	9/15/2044		$	3,545	$	3,603,081
Aon Corp.		8.205	%	1/1/2027			7,745		10,126,587
CNO Financial Group, Inc.		5.25	%	5/30/2025			3,211		3,339,440
CNO Financial Group, Inc.†		6.375	%	10/1/2020			3,387		3,613,760
Metlife, Inc.		5.25	%	–	(e)		6,890		6,915,838
Protective Life Corp.		8.45	%	10/15/2039			4,100		5,936,792
Prudential Financial, Inc.		5.625	%	6/15/2043			16,867		17,942,271
Symetra Financial Corp.		4.25	%	7/15/2024			4,950		5,111,820
Teachers Insurance & Annuity Association of America†		4.90	%	9/15/2044			11,330		12,166,177
Willis North America, Inc.		7.00	%	9/29/2019			989		1,141,296
Total									69,897,062
Leasing 0.74%
Aviation Capital Group Corp.†		6.75	%	4/6/2021			5,750		6,670,316
Aviation Capital Group Corp.†		7.125	%	10/15/2020			3,750		4,396,466
International Lease Finance Corp.		5.875	%	8/15/2022			4,925		5,454,438
Total									16,521,220
Leisure 0.83%
Carnival plc (United Kingdom)(d)		7.875	%	6/1/2027			5,500		7,048,069
Central Garden & Pet Co.		8.25	%	3/1/2018			2,008		2,062,216
Royal Caribbean Cruises Ltd.		7.50	%	10/15/2027			7,939		9,288,630
Total									18,398,915
Lodging 1.58%
Eldorado Resorts LLC/Eldorado Capital Corp.†		8.625	%	6/15/2019			975		1,027,407
Host Hotels & Resorts LP		3.75	%	10/15/2023			2,350		2,357,064
Host Hotels & Resorts LP		4.00	%	6/15/2025			2,450		2,506,585
Host Hotels & Resorts LP		5.25	%	3/15/2022			6,442		7,112,058
Host Hotels & Resorts LP		6.00	%	10/1/2021			3,835		4,402,465
Hyatt Hotels Corp.†		6.875	%	8/15/2019			5,804		6,755,409
Marina District Finance Co., Inc.		9.875	%	8/15/2018			3,500		3,644,375
Starwood Hotels & Resorts Worldwide, Inc.		4.50	%	10/1/2034			5,000		4,805,185
Sugarhouse HSP Gaming Prop. Mezz. LP/ Sugarhouse HSP Gaming Finance Corp.†		6.375	%	6/1/2021			2,450		2,352,000
Total									34,962,548
Machinery: Agricultural 0.80%
Lorillard Tobacco Co.		6.875	%	5/1/2020			1,665		1,958,842

See Notes to Financial Statements. 81

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)		Fair Value
Machinery: Agricultural (continued)
Lorillard Tobacco Co.		8.125	%		6/23/2019	$	1,918	$	2,328,767
Lorillard Tobacco Co.		8.125	%		5/1/2040		3,214		4,347,186
MHP SA (Ukraine)†(d)		8.25	%		4/2/2020		3,825		3,270,375
Viterra, Inc. (Canada)†(d)		5.95	%		8/1/2020		5,250		5,888,001
Total									17,793,171
Machinery: Industrial/Specialty 0.06%
Cleaver-Brooks, Inc.†		8.75	%		12/15/2019		1,300		1,316,250
Machinery: Oil Well Equipment & Services 0.26%
Oceaneering International, Inc.		4.65	%		11/15/2024		5,725		5,844,836
Manufacturing 0.45%
Hillenbrand, Inc.		5.50	%		7/15/2020		1,062		1,159,412
Trinity Industries, Inc.		4.55	%		10/1/2024		9,025		8,845,258
Total									10,004,670
Media 1.33%
Discovery Communications LLC		6.35	%		6/1/2040		5,960		6,829,099
Globo Comunicacao e Participacoes SA (Brazil) (7.25% after 5/11/2017)†~(d)		5.307	%	#	5/11/2022		4,595		4,813,263
Harron Communications LP/Harron Finance Corp.†		9.125	%		4/1/2020		2,250		2,446,875
Time Warner, Inc.		7.625	%		4/15/2031		9,500		12,760,324
Videotron Ltd. (Canada)(d)		9.125	%		4/15/2018		105		107,100
WideOpenWest Finance LLC/WideOpenWest Capital Corp.		10.25	%		7/15/2019		2,385		2,554,931
Total									29,511,592
Merchandising 0.17%
Kemet Corp.		10.50	%		5/1/2018		3,785		3,860,700
Metals & Minerals: Miscellaneous 1.01%
Barrick Gold Corp. (Canada)(d)		4.10	%		5/1/2023		6,325		6,279,764
Barrick International Barbados Corp. (Barbados)†(d)		6.35	%		10/15/2036		3,498		3,609,212
Goldcorp, Inc. (Canada)(d)		5.45	%		6/9/2044		2,500		2,487,685
KGHM International Ltd. (Canada)†(d)		7.75	%		6/15/2019		794		827,546
New Gold, Inc. (Canada)†(d)		6.25	%		11/15/2022		1,942		1,954,137
New Gold, Inc. (Canada)†(d)		7.00	%		4/15/2020		1,250		1,309,375
Yamana Gold, Inc. (Canada)(d)		4.95	%		7/15/2024		5,960		5,896,538
Total									22,364,257

82 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Natural Gas 1.18%
Bill Barrett Corp.		7.625	%	10/1/2019	$	3,100	$	2,976,000
Dominion Gas Holdings LLC(f)		4.60	%	12/15/2044		3,411		3,432,002
GNL Quintero SA (Chile)†(d)		4.634	%	7/31/2029		1,000		1,026,881
Kinder Morgan, Inc.		7.75	%	1/15/2032		3,052		3,613,400
Kinder Morgan, Inc.		7.80	%	8/1/2031		2,350		2,764,272
Kinder Morgan, Inc.		8.05	%	10/15/2030		1,135		1,372,549
SourceGas LLC†		5.90	%	4/1/2017		4,150		4,413,566
Southern Star Central Corp.†		5.125	%	7/15/2022		2,000		2,100,000
Southern Star Central Gas Pipeline, Inc.†		6.00	%	6/1/2016		2,000		2,077,916
Tennessee Gas Pipeline Co. LLC		8.375	%	6/15/2032		2,000		2,496,480
Total								26,273,066
Oil 2.52%
Afren plc (United Kingdom)†(b)(d)		6.625	%	12/9/2020		1,000		445,000
Afren plc (United Kingdom)†(b)(d)		10.25	%	4/8/2019		2,100		934,500
Canadian Oil Sands Ltd. (Canada)†(d)		7.90	%	9/1/2021		1,250		1,394,418
Chaparral Energy, Inc.		8.25	%	9/1/2021		2,027		1,652,005
Continental Resources, Inc.		7.125	%	4/1/2021		2,000		2,130,000
DCP Midstream LLC†		5.85	%	5/21/2043		5,000		4,150,000
DCP Midstream LLC†		9.75	%	3/15/2019		5,014		5,870,441
Delek & Avner Tamar Bond Ltd. (Israel)†(d)		5.082	%	12/30/2023		772		791,300
GeoPark Latin America Ltd. Agencia en Chile (Chile)†(d)		7.50	%	2/11/2020		2,100		1,879,500
Gulfport Energy Corp.		7.75	%	11/1/2020		2,385		2,534,063
Halliburton Co.		6.70	%	9/15/2038		2,435		3,171,731
Hilcorp Energy I LP/Hilcorp Finance Co.†		7.625	%	4/15/2021		2,525		2,644,937
Hilcorp Energy I LP/Hilcorp Finance Co.†		8.00	%	2/15/2020		1,500		1,560,750
Kunlun Energy Co., Ltd. (Hong Kong)†(d)		3.75	%	5/13/2025		1,200		1,193,640
MEG Energy Corp. (Canada)†(d)		6.375	%	1/30/2023		2,609		2,478,550
MEG Energy Corp. (Canada)†(d)		6.50	%	3/15/2021		3,000		2,925,000
Petroleos de Venezuela SA (Venezuela)(d)		5.25	%	4/12/2017		750		408,375
Petroleos de Venezuela SA (Venezuela)†(d)		8.50	%	11/2/2017		1,427		1,061,331
Petroleos Mexicanos (Mexico)†(d)		4.25	%	1/15/2025		385		383,845
Petroleum Co. of Trinidad & Tobago Ltd. (Trinidad/Tobago)†(d)		9.75	%	8/14/2019		1,000		1,180,500
Plains All American Pipeline LP/PAA Finance Corp.		3.60	%	11/1/2024		1,034		1,019,612
RSP Permian, Inc.†		6.625	%	10/1/2022		1,190		1,243,550
SEACOR Holdings, Inc.		7.375	%	10/1/2019		1,540		1,609,300

See Notes to Financial Statements. 83

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Oil (continued)
Seven Generations Energy Ltd. (Canada)†(d)		8.25	%	5/15/2020	$	2,000	$	2,155,000
Valero Energy Corp.		10.50	%	3/15/2039		4,697		7,582,743
Whiting Canadian Holding Co. ULC		8.125	%	12/1/2019		3,250		3,461,250
Total								55,861,341
Oil: Crude Producers 3.80%
Alberta Energy Co., Ltd. (Canada)(d)		8.125	%	9/15/2030		4,965		6,503,485
Apache Corp.		6.00	%	1/15/2037		4,993		5,708,007
Columbia Pipeline Group, Inc.†		3.30	%	6/1/2020		2,883		2,909,189
Enbridge Energy Partners LP		8.05	%	10/1/2037		5,040		5,241,600
Enterprise Products Operating LLC		4.90	%	5/15/2046		1,885		1,899,398
Enterprise Products Operating LLC		7.55	%	4/15/2038		8,178		10,943,194
Kerr-McGee Corp.		7.125	%	10/15/2027		3,100		3,934,095
Kerr-McGee Corp.		7.875	%	9/15/2031		2,300		3,104,016
Midcontinent Express Pipeline LLC†		6.70	%	9/15/2019		6,700		7,261,125
Murphy Oil Corp.		3.70	%	12/1/2022		3,156		2,965,845
OGX Austria GmbH (Austria)†(b)(d)		8.50	%	6/1/2018		1,800		10,802
Range Resources Corp.†		4.875	%	5/15/2025		4,925		4,931,156
Regency Energy Partners LP/Regency Energy Finance Corp.		5.75	%	9/1/2020		3,500		3,867,500
Regency Energy Partners LP/Regency Energy Finance Corp.		5.875	%	3/1/2022		1,894		2,078,665
Ruby Pipeline LLC†		6.00	%	4/1/2022		9,231		10,195,436
Sabine Pass Liquefaction LLC		6.25	%	3/15/2022		6,000		6,345,000
Southeast Supply Header LLC†		4.25	%	6/15/2024		6,450		6,489,313
Total								84,387,826
Oil: Integrated Domestic 2.58%
Buckeye Partners LP		4.875	%	2/1/2021		5,950		6,226,693
Enterprise Products Operating LLC(g)		8.375	%	8/1/2066		5,000		5,287,500
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.		6.625	%	5/1/2021		1,500		1,578,750
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.		6.75	%	2/1/2022		9,125		9,740,937
Helmerich & Payne International Drilling Co.†		4.65	%	3/15/2025		2,870		3,016,224
Hess Corp.		7.125	%	3/15/2033		1,650		2,014,640
Kinder Morgan Energy Partners LP		5.40	%	9/1/2044		3,342		3,217,524
Kinder Morgan Energy Partners LP		6.95	%	1/15/2038		7,208		8,095,737
Kinder Morgan Energy Partners LP		7.30	%	8/15/2033		600		691,314
Kinder Morgan Energy Partners LP		7.40	%	3/15/2031		1,583		1,823,814

84 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Oil: Integrated Domestic (continued)
Kinder Morgan Energy Partners LP		7.50	%	11/15/2040	$	5,486	$	6,592,307
Rowan Cos., Inc.		7.875	%	8/1/2019		8,000		9,031,528
Total								57,316,968
Oil: Integrated International 1.01%
Eni SpA (Italy)†(d)		5.70	%	10/1/2040		9,705		10,402,285
Petrobras Global Finance BV (Netherlands)(d)		4.375	%	5/20/2023		1,800		1,611,000
Transocean, Inc.		6.375	%	12/15/2021		1,500		1,415,625
Weatherford International Ltd.		9.875	%	3/1/2039		7,475		8,960,940
Total								22,389,850
Paper & Forest Products 0.97%
Coveris Holding Corp.†		10.00	%	6/1/2018		1,750		1,863,750
Georgia-Pacific LLC		8.875	%	5/15/2031		7,983		11,843,251
International Paper Co.		7.30	%	11/15/2039		2,955		3,739,795
Mercer International, Inc. (Canada)(d)		7.75	%	12/1/2022		3,825		4,140,563
Total								21,587,359
Photography 0.22%
Harman International Industries, Inc.		4.15	%	5/15/2025		4,926		4,978,344
Railroads 0.26%
Anadarko Holding Co.		7.95	%	4/15/2029		4,307		5,759,596
Real Estate Investment Trusts 2.48%
American Tower Corp.		4.00	%	6/1/2025		6,900		6,873,318
ARC Properties Operating Partnership LP		3.00	%	2/6/2019		10,580		10,209,700
China South City Holdings Ltd. (Hong Kong)(d)		8.25	%	1/29/2019		1,000		977,500
DDR Corp.		7.875	%	9/1/2020		2,739		3,390,690
EPR Properties		5.25	%	7/15/2023		3,013		3,213,364
EPR Properties		7.75	%	7/15/2020		8,000		9,623,824
HCP, Inc.		3.40	%	2/1/2025		4,600		4,451,549
Healthcare Realty Trust, Inc.		5.75	%	1/15/2021		5,274		5,935,855
Hospitality Properties Trust		4.65	%	3/15/2024		4,500		4,575,735
Iron Mountain, Inc.		8.375	%	8/15/2021		987		1,029,934
Potlatch Corp.		6.95	%	12/15/2015		500		513,750
SL Green Realty Corp.		4.50	%	12/1/2022		723		750,575
SL Green Realty Corp.		7.75	%	3/15/2020		862		1,036,556
Weyerhaeuser Co.		8.50	%	1/15/2025		1,875		2,504,400
Total								55,086,750

See Notes to Financial Statements. 85

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Retail 1.76%
Academy Ltd./Academy Finance Corp.†		9.25	%	8/1/2019	$	500	$	531,250
Amazon.com, Inc.		4.80	%	12/5/2034		14,717		15,293,391
Chinos Intermediate Holdings A, Inc. PIK†		7.75	%	5/1/2019		4,650		4,010,625
DBP Holding Corp.†		7.75	%	10/15/2020		1,025		899,437
New Academy Finance Co. LLC/New Academy Finance Corp. PIK†		8.00	%	6/15/2018		3,250		3,290,625
Party City Holdings, Inc.		8.875	%	8/1/2020		585		632,678
PETCO Holdings, Inc. PIK†		8.50	%	10/15/2017		3,500		3,613,750
QVC, Inc.		5.125	%	7/2/2022		3,841		4,035,704
Tops Holding LLC/Top Markets II Corp.†(a)		8.00	%	6/15/2022		2,462		2,462,000
Tops Holding LLC/Tops Markets LLC		8.875	%	12/15/2017		2,223		2,334,150
Walgreens Boots Alliance, Inc.		4.80	%	11/18/2044		1,970		1,957,223
Total								39,060,833
Retail: Specialty 0.02%
Petco Animal Supplies, Inc.†		9.25	%	12/1/2018		500		525,625
Savings & Loan 0.28%
First Niagara Financial Group, Inc.		7.25	%	12/15/2021		5,498		6,154,582
Steel 0.68%
Allegheny Technologies, Inc.		6.375	%	8/15/2023		3,425		3,596,147
Allegheny Technologies, Inc.		9.375	%	6/1/2019		6,325		7,542,563
Vale Overseas Ltd. (Brazil)(d)		6.875	%	11/10/2039		4,000		3,968,520
Total								15,107,230
Technology 0.36%
Alibaba Group Holding Ltd. (China)†(d)		3.60	%	11/28/2024		5,200		5,141,568
VeriSign, Inc.		4.625	%	5/1/2023		2,914		2,892,145
Total								8,033,713
Telecommunications 5.97%
AT&T, Inc.		4.50	%	5/15/2035		1,919		1,825,067
AT&T, Inc.		6.30	%	1/15/2038		26,324		30,103,126
AT&T, Inc.		6.50	%	9/1/2037		10,357		12,116,530
Block Communications, Inc.†		7.25	%	2/1/2020		500		516,250
Consolidated Communications, Inc.		10.875	%	6/1/2020		2,025		2,275,594
Digicel Group Ltd. (Jamaica)†(d)		7.125	%	4/1/2022		1,750		1,706,250
GTE Corp.		6.94	%	4/15/2028		38,728		48,941,581
GTE Corp.		8.75	%	11/1/2021		1,105		1,434,060
Intelsat Jackson Holdings SA (Luxembourg)(d)		7.25	%	4/1/2019		3,043		3,130,486

86 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Telecommunications (continued)
Millicom International Cellular SA (Luxembourg)†(d)		4.75	%	5/22/2020	$	3,075	$	3,067,435
Orange SA (France)(d)		9.00	%	3/1/2031		2,545		3,774,095
Sable International Finance Ltd.†		8.75	%	2/1/2020		1,750		1,890,000
T-Mobile USA, Inc.		6.464	%	4/28/2019		3,000		3,106,875
Turk Telekomunikasyon AS (Turkey)†(d)		4.875	%	6/19/2024		1,660		1,662,092
U.S. Cellular Corp.		6.70	%	12/15/2033		2,904		2,842,290
Verizon Communications, Inc.		5.85	%	9/15/2035		12,400		14,011,839
Total								132,403,570
Telephone-Long Distance 0.14%
Qwest Capital Funding, Inc.		6.875	%	7/15/2028		3,005		3,080,125
Tobacco 0.65%
Altria Group, Inc.		9.95	%	11/10/2038		8,569		14,361,575
Transportation: Miscellaneous 0.07%
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(d)		5.875	%	8/12/2020		1,350		1,443,083
Utilities 0.73%
Aquarion Co.†		4.00	%	8/15/2024		7,250		7,300,561
Williams Cos., Inc. (The)		8.75	%	3/15/2032		6,890		8,874,761
Total								16,175,322
Utilities: Electrical 0.13%
Puget Sound Energy, Inc.(h)		6.974	%	6/1/2067		3,088		2,941,320
Wholesale 0.07%
Interline Brands, Inc. PIK		10.00	%	11/15/2018		1,484		1,560,055
Total Corporate Bonds (cost $1,545,151,556)								1,570,603,433
FLOATING RATE LOANS(i) 1.66%
Energy Equipment & Services 0.18%
Fieldwood Energy LLC 2nd Lien Closing Date Term Loan		8.375	%	9/30/2020		1,000		824,375
Templar Energy LLC 2nd Lien New Term Loan		8.50	%	11/25/2020		4,000		3,101,000
Total								3,925,375
Financial Services 0.03%
Hudson Pacific Properties, L.P. 5 Year Term Loan		1.484	%	4/1/2020		650		650,000
Food 0.01%
New HB Acquisition LLC Term Loan B		6.75	%	4/9/2020		322		326,978

See Notes to Financial Statements. 87

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
Gaming 0.58%
Las Vegas Sands LLC Term Loan B		3.25	%	12/19/2020	$	9,161	$	9,171,540
Seminole Tribe of Florida Initial Term Loan		3.00	%	4/29/2020		3,662		3,667,428
Total								12,838,968
Health Care 0.19%
Ardent Medical Services, Inc. 2nd Lien Term Loan		11.00	%	1/2/2019		357		362,054
PharMedium Healthcare Corp. 2nd Lien Initial Term Loan		7.75	%	1/28/2022		2,769		2,789,767
Thermo Fisher Scientific, Inc. Committed Term Loan		1.649	%	1/31/2017		961		961,145
Total								4,112,966
Media 0.06%
AMC Networks, Inc. Term Loan A		1.93	%	12/16/2019		1,457		1,445,638
Metals & Minerals: Miscellaneous 0.08%
American Rock Salt Co. LLC 2nd Lien Delayed Draw Term Loan		8.00	%	5/20/2022		1,750		1,785,368
Retail 0.09%
Staples, Inc. 1st Lien Term Loan		–	(j)	4/23/2021		2,000		2,004,380
Services 0.28%
Kasima LLC Term Loan		3.25	%	5/17/2021		3,658		3,658,431
Neff Rental LLC 2nd Lien Closing Date Term Loan		7.25	%	6/9/2021		2,624		2,607,946
Total								6,266,377
Technology 0.04%
Avago Technologies Cayman Ltd. Term Loan		3.75	%	5/6/2021		969		971,394
Utilities 0.12%
Moxie Liberty LLC Advance Construction Term Loan B1		7.50	%	8/21/2020		1,367		1,370,418
Panda Sherman Power LLC Advance Construction Term Loan		9.00	%	9/14/2018		151		149,680
Windsor Financing LLC Facility B Term Loan		6.25	%	12/5/2017		1,099		1,110,211
Total								2,630,309
Total Floating Rate Loans (cost $37,506,731)								36,957,753
FOREIGN BONDS(c) 0.62%
Brazil 0.03%
BRF SA†		7.75	%	5/22/2018	BRL	2,500		660,327

88 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)			Fair Value
France 0.02%
Europcar Groupe SA†		9.375	%		4/15/2018	EUR	275		$	318,644
Mexico 0.09%
Red de Carreteras de Occidente S.A.P.I.B. de CV†		9.00	%		6/10/2028	MXN	31,250			1,983,492
United Kingdom 0.48%
Old Mutual plc		8.00	%		6/3/2021	GBP	5,000			8,765,267
R&R Ice Cream plc PIK†		9.25	%		5/15/2018	EUR	1,750			1,958,063
Total										10,723,330
Total Foreign Bonds (cost $14,824,332)										13,685,793
FOREIGN GOVERNMENT OBLIGATIONS(d) 0.27%
Argentina 0.04%
City of Buenos Aires†		9.95	%		3/1/2017	$	500			520,000
Provincia de Neuquen†		7.875	%		4/26/2021		146			148,190
Republic of Argentina(b)		8.28	%		12/31/2033		210			210,831
Total										879,021
Ghana 0.12%
Republic of Ghana†		7.875	%		8/7/2023		2,900			2,745,807
Indonesia 0.10%
Perusahaan Penerbit SBSN†		3.30	%		11/21/2022		1,200			1,164,000
Perusahaan Penerbit SBSN†		4.00	%		11/21/2018		900			946,125
Total										2,110,125
Venezuela 0.01%
Republic of Venezuela		9.375	%		1/13/2034		450			182,925
Total Foreign Government Obligations (cost $6,051,529)										5,917,878
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.51%
Federal Home Loan Mortgage Corp. 73 G IO		1095.35	%	(k)	10/15/2020		–	(l)		1,387
Federal Home Loan Mortgage Corp. 141 A PO		Zero Coupon			7/1/2022		5			5,209
Federal Home Loan Mortgage Corp. 181 F IO		494.14	%	(k)	8/15/2021		–	(l)		1,905
Federal Home Loan Mortgage Corp. 1020 S IO		900.95	%	(k)	12/15/2020		–	(l)		827
Federal Home Loan Mortgage Corp. 1032 O IO		544.714	%	(k)	12/15/2020		–	(l)		1,171

See Notes to Financial Statements. 89

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)			Fair Value
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
Federal Home Loan Mortgage Corp. 1046 I IO		1009.00	%	(k)	2/15/2021	$	–	(l)	$	763
Federal Home Loan Mortgage Corp. 1049 N IO		1010.50	%	(k)	2/15/2021		–	(l)		878
Federal Home Loan Mortgage Corp. 1058 I IO		1008.50	%	(k)	4/15/2021		–	(l)		378
Federal Home Loan Mortgage Corp. 1059 U IO		409.00	%	(k)	4/15/2021		–	(l)		707
Federal Home Loan Mortgage Corp. 1066 S IO		1195.607	%	(k)	4/15/2021		–	(l)		2,350
Federal Home Loan Mortgage Corp. 1082 D IO		1007.78	%	(k)	5/15/2021		–	(l)		3,062
Federal Home Loan Mortgage Corp. 1095 A PO		Zero Coupon			6/15/2021		9			9,350
Federal Home Loan Mortgage Corp. 1137 M IO		1185.497	%	(k)	9/15/2021		–	(l)		918
Federal Home Loan Mortgage Corp. 1148 F PO		Zero Coupon			10/15/2021		15			15,019
Federal Home Loan Mortgage Corp. 1180 G IO		1008.40	%	(k)	11/15/2021		–	(l)		559
Federal Home Loan Mortgage Corp. 1200 IB IO		1007.00	%	(k)	2/15/2022		–	(l)		228
Federal Home Loan Mortgage Corp. 1241 X IO		982.654	%	(k)	4/15/2022		–	(l)		288
Federal Home Loan Mortgage Corp. 1363 B PO		Zero Coupon			8/15/2022		43			42,793
Federal Home Loan Mortgage Corp. 1372 C PO		Zero Coupon			9/15/2022		17			17,443
Federal National Mortgage Assoc. 94 2 IO		9.50	%	(k)	8/25/2021		4			724
Federal National Mortgage Assoc. 133 1 PO		Zero Coupon			4/25/2022		2			2,009
Federal National Mortgage Assoc. 1991-158 E IO		1008.00	%	(k)	12/25/2021		–	(l)		699
Government National Mortgage Assoc. 2013-48 IO		0.593	%	#(k)	7/16/2054		20,432			1,148,874
Government National Mortgage Assoc. 2015-48 AS		2.90	%	#(k)	2/16/2049		9,848			10,036,822
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $11,210,134)										11,294,363

90 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)		Fair Value
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 1.27%
Federal National Mortgage Assoc.(m)		3.00	%		TBA	$	3,220	$	3,364,523
Federal National Mortgage Assoc.(m)		3.50	%		TBA		23,770		24,777,435
Total Government Sponsored Enterprises Pass-Throughs (cost $28,058,995)									28,141,958
MUNICIPAL BONDS 2.11%
Electric Revenue Bonds 0.39%
American Municipal Power, Inc.		7.334	%		2/15/2028		1,100		1,435,709
American Municipal Power, Inc.		7.834	%		2/15/2041		5,000		7,254,850
Total									8,690,559
Miscellaneous 0.76%
New York City Indus Dev Agy†		11.00	%		3/1/2029		8,259		11,155,762
Port Auth of NY & NJ(a)		4.823	%		6/1/2045		5,575		5,662,304
Total									16,818,066
Power 0.24%
Guam Pwr Auth		7.50	%		10/1/2015		535		535,482
Municipal Elec Auth of Georgia		7.055	%		4/1/2057		4,250		4,868,460
Total									5,403,942
Toll Roads 0.72%
Metropolitan Washington Arpt		7.462	%		10/1/2046		810		1,119,655
Metropolitan Washington Arpt		8.00	%		10/1/2047		3,705		4,823,206
North Texas Tollway Auth		8.41	%		2/1/2030		1,950		2,356,536
North Texas Tollway Auth		8.91	%		2/1/2030		6,250		7,555,937
Total									15,855,334
Total Municipal Bonds (cost $44,967,898)									46,767,901
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.65%
Banc of America Commercial Mortgage Trust 2007-2 AM		5.793	%	#	4/10/2049		8,245		8,758,272
Commercial Mortgage Pass Through Certificates 2012-LTRT A2†		3.40	%		10/5/2030		4,887		4,974,130
Commercial Mortgage Pass-Through Certificates 2013-WWP D†		3.898	%		3/10/2031		5,100		5,242,417
Commercial Mortgage Pass-Through Certificates 2014-UBS5 B		4.514	%		9/10/2047		3,500		3,779,669
Credit Suisse Mortgage Capital Certificates 2010-RR2 2B†		5.949	%	#	9/15/2039		1,300		1,393,860
Credit Suisse Mortgage Capital Certificates 2014-2R 22A1†		3.00	%		7/27/2036		441		429,885

See Notes to Financial Statements. 91

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate				Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Credit Suisse Mortgage Capital Certificates 2014-2R 26A1†		3.00	%		6/27/2037	$	785	$	771,917
Fosse Master Issuer plc 2012-1A 2B1 (United Kingdom)†(d)		2.225	%	#	10/18/2054		1,250		1,256,011
GS Mortgage Securities Trust 2013-G1 A2†		3.557	%		4/10/2031		2,346		2,388,583
GS Mortgage Securities Trust 2013-GC12 XA IO		1.758	%	#	6/10/2046		29,136		2,568,133
GS Mortgage Securities Trust 2013-GC12 XB IO		0.544	%	#	6/10/2046		47,400		1,903,940
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO		1.279	%	#	4/15/2047		6,774		364,480
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO		0.283	%	#	4/15/2047		1,896		50,306
JPMorgan Chase Commercial Mortgage-Backed Securities Trust 2009-RR1 A4B†		5.641	%	#	3/18/2051		3,810		4,120,843
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1		6.25	%		10/25/2036		1,794		1,585,677
Motel 6 Trust 2015-MTL6 A2†		2.605	%		2/5/2030		4,222		4,258,299
Sequoia Mortgage Trust 2012-4 A3		2.069	%		9/25/2042		1,048		1,006,435
Springleaf Mortgage Loan Trust 2012-3A A†		1.57	%		12/25/2059		1,328		1,333,871
UBS-Barclays Commercial Mortgage Trust 2012-C3 B†		4.365	%		8/10/2049		840		904,661
Wachovia Bank Commercial Mortgage Trust 2006-C27 AM		5.795	%		7/15/2045		1,774		1,856,975
Wachovia Bank Commercial Mortgage Trust 2006-C28 AM		5.603	%		10/15/2048		3,103		3,269,547
Wells Fargo Commercial Mortgage Trust 2013-LC12 D†		4.301	%	#	7/15/2046		2,256		2,194,730
WF-RBS Commercial Mortgage Trust 2012-C7 A1		2.30	%		6/15/2045		1,624		1,642,194
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO		1.228	%	#	5/15/2047		13,392		971,754
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO		0.573	%	#	5/15/2047		2,617		128,720
WF-RBS Commercial Mortgage Trust 2014-C25 B		4.236	%	#	11/15/2047		1,500		1,595,452
Total Non-Agency Commercial Mortgage-Backed Securities (cost $57,951,904)									58,750,761

92 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Dividend Rate			Maturity Date	Shares (000)		Fair Value
PREFERRED STOCK 0.15%
Utilities
SCE Trust III (cost $2,990,000)		5.75	%			120	$	3,267,472
	Interest Rate				Principal Amount (000)
U.S. TREASURY OBLIGATION 1.49%
U.S. Treasury Note (cost $33,025,246)		1.375	%	4/30/2020	$	33,133		32,988,043
Total Long-Term Investments (cost $2,127,616,330)								2,154,186,195
SHORT-TERM INVESTMENTS 4.91%
COMMERCIAL PAPER 0.94%
Health Care Products 0.67%
Thermo Fisher Scientific, Inc.		Zero Coupon		6/22/2015		5,000		4,997,229
Thermo Fisher Scientific, Inc.		Zero Coupon		7/16/2015		10,000		9,988,125
Total								14,985,354
Telecommunications 0.07%
Vodafone Group plc		Zero Coupon		4/11/2016		500		495,645
Vodafone Group plc		Zero Coupon		4/11/2016		1,000		991,291
Total								1,486,936
Utilities: Miscellaneous 0.20%
Enable Midstream Partners LP		Zero Coupon		6/15/2015		2,500		2,498,785
Enable Midstream Partners LP		Zero Coupon		7/15/2015		2,000		1,996,455
Total								4,495,240
Total Commercial Paper (cost $20,968,388)								20,967,530

See Notes to Financial Statements. 93

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Investments	Interest Rate			Maturity Date	Principal Amount (000)		Fair Value
CORPORATE BONDS 0.44%
Banks: Money Center 0.15%
Zions Bancorporation		5.50	%	11/16/2015	$	3,250	$	3,299,000
Electric: Power 0.09%
Pepco Holdings, Inc.		2.70	%	10/1/2015		1,975		1,983,159
Investment Management Companies 0.07%
Leucadia National Corp.		8.125	%	9/15/2015		1,500		1,529,063
Oil: Crude Producers 0.07%
Gulfstream Natural Gas System LLC†		5.56	%	11/1/2015		1,500		1,524,477
Oil: Integrated Domestic 0.06%
Texas Gas Transmission LLC		4.60	%	6/1/2015		1,512		1,512,000
Total Corporate Bonds (cost $9,859,080)								9,847,699
REPURCHASE AGREEMENT 3.53%
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $220,000 of U.S. Treasury Note at 0.375% due 10/31/2016 and $71,235,000 of U.S. Treasury Note at 3.625% due 2/15/2021; value: $79,824,838; proceeds: $78,253,227 (cost $78,253,227)						78,253		78,253,227
Total Short-Term Investments (cost $109,080,695)								109,068,456
Total Investments in Securities 102.02% (cost $2,236,697,025)								2,263,254,651
Liabilities in Excess of Cash & Other Assets(n) (2.02%)								(44,788,604	)
Net Assets 100.00%							$	2,218,466,047

94 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

BRL	Brazilian real.
EUR	euro.
GBP	British pound.
MXN	Mexican peso.
IO	Interest Only.
PIK	Payment-in-kind.
PO	Principal Only.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
#	Variable rate security. The interest rate represents the rate in effect at May 31, 2015.
~	Deferred interest debentures pay the stated rate, after which they pay a predetermined interest rate.
(a)	Securities purchased on a when-issued basis (See Note 2(i)).
(b)	Defaulted security.
(c)	Investment in non-U.S. dollar denominated securities.
(d)	Foreign security traded in U.S. dollars.
(e)	Security is perpetual in nature and has no stated maturity.
(f)	Securities have been fully/partially segregated to cover margin requirements for open futures contracts as of May 31, 2015.
(g)	Debenture pays interest at an annual fixed rate of 8.375% through August 1, 2016. Thereafter, interest will be paid at an annual floating rate of 3-month LIBOR plus 3.708% through August 1, 2066. This debenture is subject to full redemption at the option of the issuer any time prior to August 1, 2016.
(h)	Debenture pays interest at an annual fixed rate of 6.974% through December 1, 2017. Thereafter, interest will be paid at an annual floating rate of 3-month LIBOR plus 2.53% through June 1, 2067. This debenture is subject to full redemption at the option of the issuer any time prior to December 1, 2017.
(i)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2015.
(j)	Interest rate to be determined.
(k)	IOettes. These securities represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s, however, a nominal amount of principal is assigned to an IOette. This amount is very small in relation to the interest flow that constitutes almost all of the IOette cash flow. The stated price and coupon are linked to that small principal amount and therefore appear unusually large.
(l)	Amount is less than $1,000.
(m)	To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned.
(n)	Liabilities in Excess of Cash & Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows:

See Notes to Financial Statements. 95

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date		U.S. $ Current Value		Unrealized Appreciation
Argentine peso	Buy	Bank of America	8/12/2015	19,800,000	$	2,128,575	$	2,139,523		$	10,948
Argentine peso	Buy	Citibank N.A.	6/10/2015	81,200,000		8,730,713		9,003,149			272,436
Argentine peso	Buy	Citibank N.A.	8/12/2015	1,850,000		199,870		199,905			35
Argentine peso	Buy	J.P. Morgan	6/10/2015	5,300,000		571,737		587,644			15,907
Argentine peso	Buy	J.P. Morgan	7/13/2015	52,000,000		5,605,260		5,690,342			85,082
Brazilian real	Buy	Morgan Stanley	6/10/2015	1,450,000		438,769		453,973			15,204
Chilean peso	Buy	Bank of America	6/10/2015	4,220,000,000		6,757,406		6,822,520			65,114
Chilean peso	Buy	Bank of America	6/10/2015	230,000,000		355,635		371,844			16,209
Chilean peso	Buy	Bank of America	6/10/2015	4,180,000,000		6,739,218		6,757,852			18,634
Chilean peso	Buy	Morgan Stanley	8/12/2015	1,510,000,000		2,424,418		2,426,482			2,064
Colombian peso	Buy	Bank of America	6/10/2015	13,450,000,000		5,212,411		5,310,052			97,641
Colombian peso	Buy	Goldman Sachs	6/10/2015	825,000,000		309,742		325,710			15,968
Colombian peso	Buy	J.P. Morgan	6/10/2015	400,000,000		148,305		157,920			9,615
Hungarian forint	Buy	Morgan Stanley	6/10/2015	1,270,000,000		4,508,714		4,510,692			1,978
Indian rupee	Buy	Barclays Bank plc	8/12/2015	324,000,000		4,997,686		5,015,092			17,406
Indonesian rupiah	Buy	Barclays Bank plc	6/10/2015	125,000,000,000		9,331,840		9,456,926			125,086
Indonesian rupiah	Buy	Barclays Bank plc	6/10/2015	9,050,000,000		665,544		684,681			19,137
Mexican peso	Buy	J.P. Morgan	6/10/2015	22,000,000		1,415,453		1,427,807			12,354
Mexican peso	Buy	J.P. Morgan	6/10/2015	4,500,000		289,060		292,052			2,992
Philippine peso	Buy	Barclays Bank plc	7/13/2015	322,000,000		7,202,774		7,215,098			12,324
Philippine peso	Buy	J.P. Morgan	6/10/2015	94,000,000		2,108,143		2,109,762			1,619
Philippine peso	Buy	J.P. Morgan	8/12/2015	62,000,000		1,379,556		1,387,281			7,725
Polish zloty	Buy	Bank of America	6/10/2015	3,100,000		814,289		828,091			13,802
Polish zloty	Buy	Goldman Sachs	7/13/2015	18,800,000		4,967,629		5,017,080			49,451
Russian ruble	Buy	Barclays Bank plc	6/10/2015	34,200,000		531,865		650,765			118,900
Russian ruble	Buy	J.P. Morgan	6/10/2015	337,600,000		5,181,888		6,423,926			1,242,038
Russian ruble	Buy	UBS AG	7/13/2015	172,000,000		3,082,437		3,231,608			149,171
Russian ruble	Buy	UBS AG	7/13/2015	18,800,000		342,441		353,222			10,781
Russian ruble	Buy	UBS AG	8/12/2015	17,900,000		332,714		332,812			98
South African rand	Buy	Deutsche Bank AG	6/10/2015	5,800,000		465,576		476,919			11,343
South African rand	Buy	UBS AG	6/10/2015	80,200,000		6,548,669		6,594,644			45,975
South Korean won	Buy	Goldman Sachs	6/10/2015	426,000,000		375,262		382,186			6,924
Thai baht	Buy	Morgan Stanley	8/13/2015	21,000,000		620,567		622,844			2,277
Turkish lira	Buy	J.P. Morgan	8/12/2015	6,100,000		2,209,275		2,245,001			35,726
Turkish lira	Buy	Morgan Stanley	8/12/2015	4,600,000		1,668,540		1,692,951			24,411
Australian dollar	Sell	Deutsche Bank AG	8/12/2015	2,820,000		2,215,195		2,147,829			67,366
Australian dollar	Sell	J.P. Morgan	6/10/2015	2,825,000		2,190,618		2,158,920			31,698
euro	Sell	Morgan Stanley	8/13/2015	5,050,000		5,632,435		5,551,987			80,448
Japanese yen	Sell	Barclays Bank plc	7/13/2015	269,430,000		2,256,689		2,172,008			84,681
Malaysian ringgit	Sell	Morgan Stanley	7/27/2015	8,300,000		2,275,550		2,263,460			12,090
Peruvian Nuevo sol	Sell	Morgan Stanley	7/27/2015	14,400,000		4,536,862		4,521,870			14,992
Philippine peso	Sell	Morgan Stanley	6/10/2015	153,000,000		3,445,170		3,433,975			11,195
Thai baht	Sell	Bank of America	6/10/2015	100,500,000		2,992,621		2,986,612			6,009
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts										$	2,844,854

96 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date		U.S. $ Current Value		Unrealized Depreciation
Australian dollar	Buy	Morgan Stanley	6/10/2015	5,955,000	$	4,623,738	$	4,550,927		$	(72,811	)
Brazilian real	Buy	Bank of America	7/13/2015	13,700,000		4,277,694		4,237,864			(39,830	)
Brazilian real	Buy	Bank of America	8/12/2015	10,900,000		3,485,190		3,337,354			(147,836	)
Brazilian real	Buy	Goldman Sachs	6/10/2015	11,640,000		3,797,253		3,644,311			(152,942	)
Brazilian real	Buy	J.P. Morgan	8/12/2015	430,000		131,874		131,657			(217	)
Chilean peso	Buy	Bank of America	7/13/2015	1,260,000,000		2,050,047		2,030,335			(19,712	)
Chilean peso	Buy	Bank of America	8/12/2015	880,000,000		1,438,261		1,414,109			(24,152	)
Colombian peso	Buy	Bank of America	8/12/2015	17,150,000,000		7,170,482		6,729,264			(441,218	)
euro	Buy	Bank of America	8/13/2015	1,013,000		1,128,823		1,113,696			(15,127	)
euro	Buy	Morgan Stanley	8/13/2015	4,380,000		5,009,990		4,815,387			(194,603	)
Hungarian forint	Buy	Barclays Bank plc	8/12/2015	200,000,000		739,191		709,502			(29,689	)
Hungarian forint	Buy	Barclays Bank plc	8/12/2015	56,200,000		199,557		199,370			(187	)
Hungarian forint	Buy	J.P. Morgan	7/13/2015	1,470,000,000		5,251,602		5,217,884			(33,718	)
Hungarian forint	Buy	J.P. Morgan	8/12/2015	835,000,000		3,086,311		2,962,172			(124,139	)
Indian rupee	Buy	Barclays Bank plc	6/10/2015	86,950,000		1,363,922		1,361,424			(2,498	)
Indian rupee	Buy	Barclays Bank plc	6/10/2015	24,000,000		376,677		375,781			(896	)
Indian rupee	Buy	Barclays Bank plc	7/13/2015	334,000,000		5,276,878		5,197,862			(79,016	)
Indian rupee	Buy	J.P. Morgan	6/10/2015	486,600,000		7,745,941		7,618,963			(126,978	)
Indian rupee	Buy	J.P. Morgan	8/12/2015	18,600,000		288,269		287,903			(366	)
Indonesian rupiah	Buy	Barclays Bank plc	7/13/2015	39,500,000,000		2,966,958		2,966,335			(623	)
Indonesian rupiah	Buy	J.P. Morgan	8/12/2015	84,200,000,000		6,302,395		6,275,153			(27,242	)
Indonesian rupiah	Buy	Morgan Stanley	7/13/2015	2,100,000,000		158,800		157,704			(1,096	)
Israeli new shekel	Buy	Deutsche Bank AG	7/27/2015	8,900,000		2,302,067		2,300,186			(1,881	)
Japanese yen	Buy	J.P. Morgan	7/13/2015	269,430,000		2,227,148		2,172,008			(55,140	)
Mexican peso	Buy	J.P. Morgan	8/12/2015	130,500,000		8,567,804		8,431,390			(136,414	)
Mexican peso	Buy	Morgan Stanley	7/13/2015	117,500,000		7,750,724		7,607,427			(143,297	)
Philippine peso	Buy	Bank of America	6/10/2015	101,300,000		2,291,337		2,273,606			(17,731	)
Philippine peso	Buy	Bank of America	8/12/2015	14,900,000		333,617		333,395			(222	)
Philippine peso	Buy	Goldman Sachs	7/13/2015	124,100,000		2,795,063		2,780,726			(14,337	)
Philippine peso	Buy	J.P. Morgan	6/10/2015	20,000,000		449,529		448,886			(643	)
Polish zloty	Buy	Goldman Sachs	8/12/2015	19,500,000		5,393,208		5,199,260			(193,948	)
Russian ruble	Buy	Barclays Bank plc	8/12/2015	60,000,000		1,146,351		1,115,571			(30,780	)
South African rand	Buy	Deutsche Bank AG	7/13/2015	110,000,000		9,102,145		8,995,157			(106,988	)
South African rand	Buy	Goldman Sachs	8/12/2015	33,200,000		2,739,949		2,701,181			(38,768	)
South Korean won	Buy	Barclays Bank plc	7/13/2015	6,850,000,000		6,324,439		6,138,852			(185,587	)
South Korean won	Buy	Barclays Bank plc	8/12/2015	2,720,000,000		2,439,374		2,435,661			(3,713	)
South Korean won	Buy	Goldman Sachs	6/10/2015	4,375,000,000		3,952,456		3,925,037			(27,419	)
South Korean won	Buy	J.P. Morgan	7/13/2015	6,700,000,000		6,119,336		6,004,425			(114,911	)
South Korean won	Buy	J.P. Morgan	8/12/2015	1,150,000,000		1,063,849		1,029,783			(34,066	)
Thai baht	Buy	Bank of America	6/10/2015	322,000,000		9,838,069		9,569,044			(269,025	)
Thai baht	Buy	Bank of America	7/13/2015	191,000,000		5,835,803		5,669,944			(165,859	)
Thai baht	Buy	Morgan Stanley	6/10/2015	13,000,000		390,977		386,328			(4,649	)
Turkish lira	Buy	Deutsche Bank AG	7/13/2015	32,900,000		12,221,283		12,209,691			(11,592	)
Turkish lira	Buy	Morgan Stanley	8/12/2015	5,250,000		1,988,831		1,932,173			(56,658	)
Turkish lira	Buy	Morgan Stanley	8/12/2015	1,570,000		578,171		577,812			(359	)

See Notes to Financial Statements. 97

Schedule of Investments (unaudited)(continued)

INCOME FUND May 31, 2015

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date		U.S. $ Current Value		Unrealized Depreciation
Australian dollar	Sell	Morgan Stanley	6/10/2015	3,130,000	$	2,375,274	$	2,392,007		$	(16,733	)
British pound	Sell	J.P. Morgan	6/11/2015	4,010,000		6,052,032		6,128,436			(76,404	)
British pound	Sell	J.P. Morgan	7/20/2015	1,945,000		2,895,473		2,971,705			(76,232	)
Indian rupee	Sell	Barclays Bank plc	6/10/2015	217,000,000		3,357,314		3,397,688			(40,374	)
Israeli new shekel	Sell	Barclays Bank plc	7/27/2015	8,900,000		2,265,553		2,300,186			(34,633	)
Singapore dollar	Sell	Bank of America	6/10/2015	6,100,000		4,410,127		4,524,083			(113,956	)
South African rand	Sell	Morgan Stanley	6/10/2015	80,500,000		6,603,183		6,619,312			(16,129	)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts										$	(3,523,344	)

Open Futures Contracts at May 31, 2015:

Type	Expiration	Contracts		Position	Fair Value			Unrealized Appreciation
U.S. 5-Year Treasury Note	September 2015		5,405	Long	$	647,122,073			$	1,975,138
Ultra Long U.S. Treasury Bond	September 2015		112	Long		17,951,500				460,928
U.S. Long Bond	September 2015		28	Long		4,357,500				93,795
Totals					$	669,431,073			$	2,529,861
Type	Expiration	Contracts		Position	Fair Value			Unrealized Depreciation
U.S. 2-Year Treasury Note	September 2015		814	Short	$	(178,151,532	)		$	(204,933	)
U.S. 10-Year Treasury Note	September 2015		3,323	Short		(424,305,563	)			(1,485,620	)
Totals					$	(602,457,095	)		$	(1,690,553	)

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)(3)	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	–	$	345,794,605	$	–	$	345,794,605
Convertible Bonds		–		–		16,235		16,235
Corporate Bonds		–		1,580,451,132		–		1,580,451,132
Floating Rate Loans(4)
Energy Equipment & Services		–		3,925,375		–		3,925,375
Financial Services		–		–		650,000		650,000
Food		–		326,978		–		326,978
Gaming		–		12,838,968		–		12,838,968
Health Care		–		4,112,966		–		4,112,966
Media		–		1,445,638		–		1,445,638
Metals & Minerals: Miscellaneous		–		1,785,368		–		1,785,368
Retail		–		2,004,380		–		2,004,380
Services		–		6,266,377		–		6,266,377
Technology		–		971,394		–		971,394
Utilities		–		149,680		2,480,629		2,630,309
Foreign Bonds		–		13,685,793		–		13,685,793
Foreign Government Obligations		–		5,917,878		–		5,917,878
Government Sponsored Enterprises Collateralized Mortgage Obligations		–		11,294,363		–		11,294,363

98 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

INCOME FUND May 31, 2015

Investment Type(2)(3)	Level 1			Level 2			Level 3		Total
Government Sponsored Enterprises Pass-Throughs	$	–		$	28,141,958		$	–	$	28,141,958
Municipal Bonds		–			46,767,901			–		46,767,901
Non-Agency Commercial Mortgage-Backed Securities		–			58,750,761			–		58,750,761
Preferred Stock		3,267,472			–			–		3,267,472
U.S. Treasury Obligation		–			32,988,043			–		32,988,043
Commercial Paper		–			20,967,530			–		20,967,530
Repurchase Agreement		–			78,253,227			–		78,253,227
Total	$	3,267,472		$	2,256,840,315		$	3,146,864	$	2,263,254,651
Other Financial Instruments
Forward Foreign Currency Exchange Contracts
Assets	$	–		$	2,844,854		$	–	$	2,844,854
Liabilities		–			(3,523,344	)		–		(3,523,344	)
Futures Contracts
Assets		2,529,861			–			–		2,529,861
Liabilities		(1,690,553	)		–			–		(1,690,553	)
Total	$	839,308		$	(678,490	)	$	–	$	160,818

(1)	Refer to Note 2(r) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.
(3)	There were no Level 1/Level 2 transfers during the period ended May 31, 2015.
(4)	Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

Investment Type	Convertible Bonds			Floating Rate Loans			Total Return Swap
Balance as of December 1, 2014	$	–		$	2,462,104		$	171,290
Accrued discounts/premiums		–			529			–
Realized gain (loss)		–			2,956			(45,395	)
Change in unrealized appreciation/depreciation		(112,497	)		(11,024	)		–
Purchases		128,732			874,082			–
Sales		–			(198,019	)		(125,895	)
Net transfers in or out of Level 3		–			–			–
Balance as of May 31, 2015	$	16,235		$	3,130,629		$	–

See Notes to Financial Statements. 99

Schedule of Investments (unaudited)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
LONG-TERM INVESTMENTS 95.17%
ASSET-BACKED SECURITIES 14.72%
Automobiles 5.79%
Ally Auto Receivables Trust 2014-1 A3		0.97	%	10/15/2018	$	4,555	$	4,561,694
Ally Auto Receivables Trust 2014-2 A3		1.25	%	4/15/2019		3,160		3,171,199
AmeriCredit Automobile Receivables Trust 2013-1 B		1.07	%	3/8/2018		819		821,188
AmeriCredit Automobile Receivables Trust 2013-3 B		1.58	%	9/10/2018		685		690,253
AmeriCredit Automobile Receivables Trust 2013-5 A3		0.90	%	9/10/2018		1,600		1,601,919
Avis Budget Rental Car Funding AESOP LLC 2011-3A A†		3.41	%	11/20/2017		694		714,305
Avis Budget Rental Car Funding AESOP LLC 2011-5A A†		3.27	%	2/20/2018		695		716,586
Avis Budget Rental Car Funding AESOP LLC 2012-2A A†		2.802	%	5/20/2018		2,090		2,142,453
Avis Budget Rental Car Funding AESOP LLC 2014-1A A†		2.46	%	7/20/2020		694		701,606
Avis Budget Rental Car Funding AESOP LLC 2014-2A A†		2.50	%	2/20/2021		495		499,251
Avis Budget Rental Car Funding AESOP LLC 2015-2A A†		2.63	%	12/20/2021		1,387		1,386,723
BMW Vehicle Lease Trust 2014-1 A3		0.73	%	2/21/2017		1,370		1,370,875
California Republic Auto Receivables Trust 2013-1 A2†		1.41	%	9/17/2018		686		689,353
California Republic Auto Receivables Trust 2013-2 A2		1.23	%	3/15/2019		953		956,024
California Republic Auto Receivables Trust 2014-1 A3		0.85	%	5/15/2018		280		280,173
California Republic Auto Receivables Trust 2014-2 A3		0.91	%	8/15/2018		1,120		1,120,540
California Republic Auto Receivables Trust 2014-3 A3		1.09	%	11/15/2018		2,120		2,123,226
California Republic Auto Receivables Trust 2015-2 A4(a)		1.75	%	1/15/2021		3,004		3,005,878
Capital Auto Receivables Asset Trust 2015-2 A1A		0.99	%	10/20/2017		2,648		2,648,514
Capital Auto Receivables Asset Trust 2015-2 A2		1.39	%	9/20/2018		1,111		1,111,718
CarMax Auto Owner Trust 2015-2 A2A		0.82	%	6/15/2018		739		739,411
Chrysler Capital Auto Receivables Trust 2014-BA A3†		1.27	%	5/15/2019		1,115		1,118,064

100 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Automobiles (continued)
Drive Auto Receivables Trust 2015-BA B†		2.12	%		6/17/2019	$	877	$	879,203
Fifth Third Auto Trust 2014-2 A3		0.89	%		11/15/2018		1,825		1,826,262
Ford Credit Auto Owner Trust 2014-B A3		0.90	%		10/15/2018		1,490		1,492,716
GM Financial Automobile Leasing Trust 2014-2A A3†		1.22	%		1/22/2018		1,640		1,641,602
Harley-Davidson Motorcycle Trust 2015-2 A4		1.66	%		12/15/2022		696		695,930
Hyundai Auto Receivables Trust 2014-B A3		0.90	%		12/17/2018		1,600		1,601,109
Nissan Auto Lease Trust 2014-A A3		0.80	%		2/15/2017		1,225		1,226,089
Porsche Innovative Lease Owner Trust 2014-1 A3†		1.03	%		11/20/2017		3,095		3,103,021
Santander Drive Auto Receivables Trust 2013-3 B		1.19	%		5/15/2018		1,124		1,126,248
Volkswagen Auto Loan Enhanced Trust 2013-2 A3		0.70	%		4/20/2018		2,949		2,947,686
World Omni Automobile Lease Securitization Trust 2014-A A3		1.16	%		9/15/2017		970		974,062
Total									49,684,881
Credit Cards 2.12%
Bank of America Credit Card Trust 2014-A3 A		0.476	%	#	1/15/2020		2,115		2,117,766
Capital One Multi-Asset Execution Trust 2014-A2		1.26	%		1/15/2020		2,100		2,111,480
Capital One Multi-Asset Execution Trust 2015-A3		0.595	%	#	3/15/2023		2,909		2,912,860
Citibank Credit Card Issuance Trust 2013-A4		0.605	%	#	7/24/2020		565		567,025
Citibank Credit Card Issuance Trust 2013-A6		1.32	%		9/7/2018		2,956		2,977,855
Discover Card Execution Note Trust 2011-A4		0.536	%	#	5/15/2019		1,125		1,127,166
Synchrony Credit Card Master Note Trust 2011-2 A		0.666	%	#	5/15/2019		2,290		2,294,332
Synchrony Credit Card Master Note Trust 2012-6 A		1.36	%		8/17/2020		335		335,638
World Financial Network Credit Card Master Trust 2013-B A		0.91	%		3/16/2020		3,552		3,557,523
World Financial Network Credit Card Master Trust 2014-A		0.566	%	#	12/15/2019		165		165,138
Total									18,166,783
Home Equity 0.49%
Asset Backed Securities Corp. Home Equity
Loan Trust Series NC 2006-HE4 A5		0.341	%	#	5/25/2036		1,518		1,433,081
Home Equity Asset Trust 2006-7 2A2		0.291	%	#	1/25/2037		618		615,581
Home Equity Asset Trust 2006-8 2A2		0.291	%	#	3/25/2037		1,686		1,667,377
New Century Home Equity Loan Trust 2005-A A6		4.954	%		8/25/2035		334		329,030
Option One Mortgage Loan Trust 2005-1 A4		0.981	%	#	2/25/2035		155		152,899
Total									4,197,968

See Notes to Financial Statements. 101

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Other 6.32%
Ares IIIR/IVR CLO Ltd. 2007-3RA A2†		0.496	%	#	4/16/2021	$	789	$	780,669
Avenue CLO VI Ltd. 2007-6A A2†		0.624	%	#	7/17/2019		500		496,412
BlueMountain CLO Ltd. 2014-3A A1†		1.727	%	#	10/15/2026		500		498,669
Carlyle Global Market Strategies 2015-2A A1†		1.744	%	#	4/27/2027		2,000		1,993,808
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1†		1.752	%	#	10/15/2026		1,375		1,376,821
Cedar Funding IV CLO Ltd. 2014-4A A1†		1.744	%	#	10/23/2026		2,630		2,630,020
Cent CDO XI Ltd. 2006-11A A1†		0.537	%	#	4/25/2019		1,105		1,090,873
Cent CLO 2013-17A A1†		1.555	%	#	1/30/2025		2,500		2,482,279
CIFC Funding II Ltd. 2014-2A A1L†		1.762	%	#	5/24/2026		850		850,347
CIT Mortgage Loan Trust 2007-1 2A2†		1.435	%	#	10/25/2037		66		66,205
CNH Equipment Trust 2015-B A4		1.89	%		4/15/2022		859		858,828
Crown Point CLO Ltd. 2012-1A A1LB†		1.775	%	#	11/21/2022		910		911,605
Dryden XXIII Senior Loan Fund 2012-23RA A1R†		1.525	%	#	7/17/2023		1,000		994,461
FBR Securitization Trust 2005-4 AV24		0.881	%	#	10/25/2035		933		830,067
Fortress Credit BSL Ltd. 2013-1A A†		1.455	%	#	1/19/2025		2,500		2,460,149
Fraser Sullivan CLO II Ltd. 2006-2A A2†		0.57	%	#	12/20/2020		500		498,479
Galaxy XVIII CLO Ltd. 2014-18A A†		1.733	%	#	10/15/2026		1,000		996,871
Gleneagles CLO Ltd. 2005-1A B†		0.828	%	#	11/1/2017		1,000		992,893
GMF Floorplan Owner Revolving Trust 2015-1 A1†		1.65	%		5/15/2020		1,266		1,268,291
HLSS Servicer Advance Receivables Backed Notes 2013-T3 B3†		2.14	%		5/15/2046		1,000		995,144
HLSS Servicer Advance Receivables Backed Notes 2013-T7 AT7†		1.981	%		11/15/2046		800		796,109
HLSS Servicer Advance Receivables Trust 2012-T2 A2†		1.99	%		10/15/2045		1,100		1,100,039
HLSS Servicer Advance Receivables Trust 2013-T1 A2†		1.495	%		1/16/2046		2,750		2,747,702
Jackson Mill CLO Ltd. 2015-1A A†		1.814	%	#	4/15/2027		700		702,030
Jasper CLO Ltd. 2005-1A A†		0.548	%	#	8/1/2017		113		112,880
JFIN Revolver CLO Ltd. 2013-1A A†		1.525	%	#	1/20/2021		477		477,573
JFIN Revolver CLO Ltd. 2015-4A A†		1.424	%	#	4/22/2020		2,700		2,687,067
Landmark VII CDO Ltd. 2006-7A A3L†		1.025	%	#	7/15/2018		500		496,883
Madison Park Funding IX Ltd. 2012-9AR B1R†		2.15	%	#	8/15/2022		1,400		1,400,950
Morgan Stanley Capital I, Inc. 2006-HE1 A3		0.361	%	#	1/25/2036		49		49,048
Nationstar Mortgage Advance Receivables Trust 2013-T3A A3†		2.438	%		6/20/2048		1,300		1,294,622
Oaktree CLO Ltd. 2014-2A A1A†		1.805	%	#	10/20/2026		1,300		1,299,001
Octagon Investment Partners XIX Ltd. 2014-1A A†		1.773	%	#	4/15/2026		1,179		1,181,374

102 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Other (continued)
Octagon Loan Funding Ltd. 2014-1A A1†		1.726	%	#	11/18/2026	$	750	$	749,288
OHA Park Avenue CLO I Ltd. 2007-1A A1B†		0.501	%	#	3/14/2022		657		650,296
OZLM VII Ltd. 2014-7A A1B†		1.764	%	#	7/17/2026		1,550		1,551,342
OZLM VIII Ltd. 2014-8A A1A†		1.714	%	#	10/17/2026		1,990		1,987,227
Race Point III CLO Ltd. 2006-3 A (Ireland)†(b)		0.535	%	#	4/15/2020		174		174,086
SLM Private Education Loan Trust 2010-A 2A†		3.436	%	#	5/16/2044		961		1,016,085
SLM Private Education Loan Trust 2012-A A1†		1.586	%	#	8/15/2025		392		395,702
SLM Private Education Loan Trust 2012-E A1†		0.936	%	#	10/16/2023		338		339,336
SLM Private Education Loan Trust 2013-B A1†		0.836	%	#	7/15/2022		1,121		1,122,612
SLM Student Loan Trust 2011-1 A1		0.705	%	#	3/25/2026		286		287,431
Stone Tower CLO V Ltd. 2006-5A A2B†		0.606	%	#	7/16/2020		2,500		2,466,298
Stone Tower CLO VI Ltd. 2007-6A A2B†		0.594	%	#	4/17/2021		900		881,624
Venture XI CLO Ltd. 2012-11AR BR†		2.225	%	#	11/14/2022		500		500,000
Venture XVII CLO Ltd. 2014-17A A†		1.755	%	#	7/15/2026		1,500		1,496,186
Venture XVIII CLO Ltd. 2014-18A A†		1.703	%	#	10/15/2026		1,250		1,244,940
Westchester CLO Ltd. 2007-1A A1A†		0.503	%	#	8/1/2022		832		826,275
Westgate Resorts LLC 2014-1A A†		2.15	%		12/20/2026		349		347,138
Westgate Resorts LLC 2014-1A B†		3.25	%		12/20/2026		813		813,795
Total									54,267,830
Total Asset-Backed Securities (cost $125,954,335)									126,317,462
CONVERTIBLE BONDS 0.00%
Oil
Oleo e Gas Participacoes SA (Brazil)(c)(d)		10.00	%		6/1/2016		BRL 3		1,149
Oleo e Gas Participacoes SA (Brazil)(c)(d)		10.00	%		6/1/2016		BRL 2		871
Total Convertible Bonds (cost $16,018)									2,020
CORPORATE BONDS 42.60%
Aerospace/Defense 0.18%
BAE Systems plc (United Kingdom)†(b)		3.50	%		10/11/2016	$	200		206,156
Exelis, Inc.		4.25	%		10/1/2016		1,078		1,115,461
Litton Industries, Inc.		6.75	%		4/15/2018		200		226,709
Total									1,548,326
Air Transportation 0.04%
US Airways 2012-1 Class C Pass-Through Trust		9.125	%		10/1/2015		332		338,372
Auto Parts: Original Equipment 0.76%
Accuride Corp.		9.50	%		8/1/2018		561		580,635

See Notes to Financial Statements. 103

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Auto Parts: Original Equipment (continued)
Continental Rubber of America Corp.†		4.50	%		9/15/2019	$	2,759	$	2,844,248
Hertz Corp. (The)		7.50	%		10/15/2018		1,375		1,426,562
International Automotive Components Group SA (Luxembourg)†(b)		9.125	%		6/1/2018		353		365,355
Schaeffler Holding Finance BV PIK (Netherlands)†(b)		6.875	%		8/15/2018		1,257		1,310,423
Total									6,527,223
Automotive 0.98%
Ford Motor Credit Co. LLC		4.207	%		4/15/2016		1,000		1,026,741
Ford Motor Credit Co. LLC		6.625	%		8/15/2017		2,250		2,485,478
General Motors Co.		3.50	%		10/2/2018		1,000		1,030,300
General Motors Financial Co., Inc.		2.40	%		4/10/2018		1,300		1,300,800
General Motors Financial Co., Inc.		4.75	%		8/15/2017		2,225		2,353,367
Kia Motors Corp. (South Korea)†(b)		3.625	%		6/14/2016		200		204,693
Total									8,401,379
Banks: Money Center 0.60%
Akbank TAS (Turkey)†(b)		3.875	%		10/24/2017		150		152,250
Bank of America Corp.		5.25	%		12/1/2015		800		818,617
Bank of America Corp.		5.42	%		3/15/2017		379		403,768
Bank of America Corp.		5.75	%		8/15/2016		1,500		1,575,624
BBVA Banco Continental SA (Peru)†(b)		2.25	%		7/29/2016		600		604,500
Export-Import Bank of Korea (South Korea)(b)		1.121	%	#	9/17/2016		400		401,868
Export-Import Bank of Korea (South Korea)(b)		3.75	%		10/20/2016		200		207,365
Industrial & Commercial Bank of China Ltd.		2.351	%		11/13/2017		500		504,639
Wilmington Trust Corp.		8.50	%		4/2/2018		350		408,296
Zions Bancorporation		5.50	%		11/16/2015		77		78,161
Total									5,155,088
Banks: Regional 3.59%
Associated Banc-Corp.		5.125	%		3/28/2016		1,550		1,597,060
Banco de Credito e Inversiones (Chile)†(b)		3.00	%		9/13/2017		200		204,616
Banco do Brasil SA		3.875	%		1/23/2017		200		205,380
Banco Santander Chile (Chile)†(b)		2.139	%	#	6/7/2018		1,000		1,011,500
Bank of America Corp.		5.70	%		5/2/2017		700		751,078
Bank of America Corp.		6.05	%		5/16/2016		1,500		1,565,466
Bank of America Corp.		10.20	%		7/15/2015		750		758,155
Bank of America NA		5.30	%		3/15/2017		3,020		3,215,433
CIT Group, Inc.		4.25	%		8/15/2017		1,000		1,025,000
Citigroup, Inc.		5.50	%		2/15/2017		897		956,932

104 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Banks: Regional (continued)
Discover Bank		2.00	%		2/21/2018	$	943	$	944,926
Discover Bank		8.70	%		11/18/2019		796		974,900
Export-Import Bank of China (The) (China)†(b)		2.50	%		7/31/2019		500		506,868
Fifth Third Bancorp		5.45	%		1/15/2017		100		106,531
First Midwest Bancorp, Inc.		5.875	%		11/22/2016		125		131,344
HBOS plc (United Kingdom)†(b)		6.75	%		5/21/2018		2,600		2,910,885
Itau Unibanco Holding SA†		2.85	%		5/26/2018		500		502,500
Korea Development Bank (The) (South Korea)(b)		0.901	%	#	1/22/2017		500		499,975
Korea Exchange Bank (South Korea)†(b)		2.50	%		6/12/2019		300		302,402
Lloyds Bank plc (United Kingdom)†(b)		6.50	%		9/14/2020		2,200		2,584,571
Macquarie Bank Ltd. (Australia)†(b)		5.00	%		2/22/2017		155		164,709
Morgan Stanley		6.625	%		4/1/2018		3,000		3,395,724
Popular, Inc.		7.00	%		7/1/2019		200		205,750
Regions Financial Corp.		2.00	%		5/15/2018		87		87,081
Royal Bank of Scotland plc (The) (United Kingdom)(b)		9.50	%		3/16/2022		1,748		1,956,942
Santander Holdings USA, Inc.		4.625	%		4/19/2016		250		257,950
Swedbank Hypotek AB (Sweden)†(b)		2.95	%		3/28/2016		170		173,228
Turkiye Halk Bankasi AS (Turkey)†(b)		4.75	%		6/4/2019		300		302,850
Turkiye Halk Bankasi AS (Turkey)†(b)		4.875	%		7/19/2017		1,200		1,242,787
Turkiye Vakiflar Bankasi TAO (Turkey)†(b)		3.75	%		4/15/2018		300		298,125
Turkiye Vakiflar Bankasi TAO (Turkey)†(b)		5.75	%		4/24/2017		500		523,125
UBS AG		1.375	%		6/1/2017		1,154		1,153,908
Valley National Bank		5.00	%		7/15/2015		250		251,017
Total									30,768,718
Beverages 0.00%
Central American Bottling Corp. (Guatemala)†(b)		6.75	%		2/9/2022		30		32,025
Biotechnology Research & Production 0.01%
Laboratory Corp. of America Holdings		3.125	%		5/15/2016		125		127,311
Broadcasting 0.22%
21st Century Fox America, Inc.		7.60	%		10/11/2015		175		179,199
Cox Communications, Inc.†		5.875	%		12/1/2016		451		481,209
Cox Communications, Inc.†		9.375	%		1/15/2019		1,000		1,237,678
Total									1,898,086
Brokers 0.74%
Jefferies Group LLC		3.875	%		11/9/2015		925		933,563
Jefferies Group LLC		5.125	%		4/13/2018		200		213,250

See Notes to Financial Statements. 105

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

	Interest				Maturity	Principal Amount		Fair
Investments	Rate				Date	(000)		Value
Brokers (continued)
Jefferies Group LLC		5.50	%		3/15/2016	$	325	$	333,653
Jefferies Group LLC		8.50	%		7/15/2019		2,941		3,535,158
Raymond James Financial, Inc.		8.60	%		8/15/2019		1,050		1,293,449
Total									6,309,073
Building Materials 0.20%
Cemex SAB de CV (Mexico)†(b)		5.025	%	#	10/15/2018		500		528,000
Martin Marietta Materials, Inc.		1.373	%	#	6/30/2017		525		523,542
Martin Marietta Materials, Inc.		6.60	%		4/15/2018		400		450,016
Owens Corning		6.50	%		12/1/2016		12		12,823
Owens Corning		9.00	%		6/15/2019		148		178,236
Total									1,692,617
Business Services 0.41%
Expedia, Inc.		7.456	%		8/15/2018		1,396		1,606,602
Jaguar Holding Co. I PIK†		9.375	%		10/15/2017		975		999,375
Jaguar Holding Co. II/Jaguar Merger Sub, Inc.†		9.50	%		12/1/2019		300		322,875
NES Rentals Holdings, Inc.†		7.875	%		5/1/2018		550		565,125
Verisk Analytics, Inc.		4.875	%		1/15/2019		41		44,163
Total									3,538,140
Cable Services 0.08%
Time Warner Cable, Inc.		8.25	%		4/1/2019		222		263,224
Time Warner Cable, Inc.		8.75	%		2/14/2019		350		417,952
Total									681,176
Chemicals 0.94%
Airgas, Inc.		2.95	%		6/15/2016		48		48,971
LyondellBasell Industries NV		5.00	%		4/15/2019		1,950		2,139,957
Nufarm Australia Ltd. (Australia)†(b)		6.375	%		10/15/2019		195		200,606
PetroLogistics LP/PetroLogistics Finance Corp.		6.25	%		4/1/2020		1,728		1,850,214
Rockwood Specialties Group, Inc.		4.625	%		10/15/2020		2,735		2,858,075
Yara International ASA (Norway)†(b)		7.875	%		6/11/2019		825		969,500
Total									8,067,323
Coal 0.21%
Korea Resources Corp. (South Korea)†(b)		2.25	%		4/29/2020		500		499,091
Penn Virginia Corp.		7.25	%		4/15/2019		545		490,500
Penn Virginia Corp.		8.50	%		5/1/2020		815		774,250
Total									1,763,841

106 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Communications Equipment 0.05%
Harris Corp.		1.999	%	4/27/2018	$	200	$	200,656
Harris Corp.		2.70	%	4/27/2020		200		200,771
Total								401,427
Computer Hardware 0.02%
DynCorp International, Inc.		10.375	%	7/1/2017		174		138,330
Computer Service 0.08%
IGATE Corp.		4.75	%	4/15/2019		647		679,350
Computer Software 0.75%
Aspect Software, Inc.		10.625	%	5/15/2017		715		647,075
First Data Corp.†		7.375	%	6/15/2019		413		430,553
First Data Corp.		12.625	%	1/15/2021		1,815		2,130,356
Sophia LP/Sophia Finance, Inc.†		9.75	%	1/15/2019		948		1,017,915
SRA International, Inc.		11.00	%	10/1/2019		710		756,150
SunGard Data Systems, Inc.		6.625	%	11/1/2019		300		314,250
SunGard Data Systems, Inc.		7.375	%	11/15/2018		1,111		1,158,217
Total								6,454,516
Consumer Products 0.22%
Avon Products, Inc.		3.125	%	3/15/2016		700		703,500
Avon Products, Inc.		5.35	%	3/15/2020		1,258		1,144,780
Total								1,848,280
Containers 0.27%
Coveris Holdings SA (Luxembourg)†(b)		7.875	%	11/1/2019		200		205,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer
LLC/Reynolds Group Issuer (Luxembourg) SA		7.125	%	4/15/2019		100		103,625
Reynolds Group Issuer, Inc./Reynolds Group Issuer
LLC/Reynolds Group Issuer (Luxembourg) SA		8.50	%	5/15/2018		1,800		1,838,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer
LLC/Reynolds Group Issuer (Luxembourg) SA		9.00	%	4/15/2019		200		209,000
Total								2,356,375
Copper 0.01%
Southern Copper Corp. (Mexico)(b)		6.375	%	7/27/2015		100		100,660
Diversified 0.22%
Alphabet Holding Co., Inc. PIK		7.75	%	11/1/2017		1,866		1,891,658

See Notes to Financial Statements. 107

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Drugs 1.99%
AbbVie, Inc.		1.80	%	5/14/2018	$	691	$	692,341
AbbVie, Inc.		2.50	%	5/14/2020		1,000		1,000,955
Actavis Funding SCS (Luxembourg)(b)		2.35	%	3/12/2018		1,603		1,619,910
Capsugel SA PIK (Luxembourg)†(b)		7.00	%	5/15/2019		929		951,644
Express Scripts Holding Co.		2.65	%	2/15/2017		200		204,683
Hospira, Inc.		6.05	%	3/30/2017		285		308,531
McKesson Corp.		7.50	%	2/15/2019		30		35,720
Mylan, Inc.		1.80	%	6/24/2016		1,275		1,281,616
Mylan, Inc.†		7.875	%	7/15/2020		4,994		5,231,495
Par Pharmaceutical Cos., Inc.		7.375	%	10/15/2020		703		753,968
Perrigo Co. plc (Ireland)(b)		1.30	%	11/8/2016		750		749,753
Perrigo Co. plc (Ireland)(b)		2.30	%	11/8/2018		800		805,078
Valeant Pharmaceuticals International, Inc.†		5.375	%	3/15/2020		1,000		1,045,000
Valeant Pharmaceuticals International, Inc.†		6.75	%	8/15/2018		1,250		1,323,437
Valeant Pharmaceuticals International, Inc.†		7.00	%	10/1/2020		1,000		1,048,750
Total								17,052,881
Electric: Power 0.79%
Cleveland Electric Illuminating Co. (The)		8.875	%	11/15/2018		1,755		2,146,577
Entergy Corp.		3.625	%	9/15/2015		550		553,837
Entergy Corp.		4.70	%	1/15/2017		1,891		1,973,622
Pennsylvania Electric Co.		6.05	%	9/1/2017		100		109,599
PPL WEM Holdings Ltd. (United Kingdom)†(b)		3.90	%	5/1/2016		1,928		1,975,662
Total								6,759,297
Electronics 0.13%
Jabil Circuit, Inc.		7.75	%	7/15/2016		500		536,250
Jabil Circuit, Inc.		8.25	%	3/15/2018		525		607,031
Total								1,143,281
Electronics: Semi-Conductors/Components 0.31%
Freescale Semiconductor, Inc.		10.75	%	8/1/2020		254		272,098
KLA-Tencor Corp.		2.375	%	11/1/2017		1,248		1,264,757
KLA-Tencor Corp.		3.375	%	11/1/2019		1,100		1,135,399
Total								2,672,254
Energy Equipment & Services 0.99%
Cameron International Corp.		1.40	%	6/15/2017		40		39,759
Copano Energy LLC/Copano Energy Finance Corp.		7.125	%	4/1/2021		3,055		3,242,931
Energy Transfer Partners LP		9.00	%	4/15/2019		2,327		2,859,387

108 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Energy Equipment & Services (continued)
Energy Transfer Partners LP		9.70	%	3/15/2019	$	1,773	$	2,198,731
Greenko Dutch BV (Netherlands)†(b)		8.00	%	8/1/2019		200		193,500
Total								8,534,308
Engineering & Contracting Services 0.07%
New Enterprise Stone & Lime Co., Inc.		11.00	%	9/1/2018		675		609,188
Entertainment 0.96%
CCO Holdings LLC/CCO Holdings Capital Corp.		6.50	%	4/30/2021		2,250		2,370,937
CCO Holdings LLC/CCO Holdings Capital Corp.		7.00	%	1/15/2019		1,443		1,501,622
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp.†		8.875	%	4/15/2017		1,375		1,387,891
Peninsula Gaming LLC/Peninsula Gaming Corp.†		8.375	%	2/15/2018		200		211,250
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.†		9.50	%	6/15/2019		590		622,450
Seminole Tribe of Florida, Inc.†		6.535	%	10/1/2020		575		623,875
Seminole Tribe of Florida, Inc.†		7.804	%	10/1/2020		400		434,000
Shingle Springs Tribal Gaming Authority†		9.75	%	9/1/2021		700		787,500
WMG Holdings Corp.†		13.75	%	10/1/2019		100		109,750
WMG Holdings Corp.		13.75	%	10/1/2019		150		164,625
Total								8,213,900
Financial Services 3.87%
Air Lease Corp.		4.50	%	1/15/2016		2,150		2,195,688
Air Lease Corp.		5.625	%	4/1/2017		4,813		5,149,910
Alliance Data Systems Corp.†		6.375	%	4/1/2020		300		313,875
Banco de Credito del Peru (Peru)†(b)		2.75	%	1/9/2018		107		108,338
Bank of America Corp.		7.80	%	9/15/2016		2,850		3,078,108
Bear Stearns Cos. LLC (The)		5.55	%	1/22/2017		1,000		1,065,478
Countrywide Financial Corp.		6.25	%	5/15/2016		2,400		2,508,343
Denali Borrower LLC/Denali Finance Corp.†		5.625	%	10/15/2020		3,832		4,076,290
Discover Financial Services		6.45	%	6/12/2017		291		318,654
Dun & Bradstreet Corp. (The)		2.875	%	11/15/2015		1,650		1,666,541
Dun & Bradstreet Corp. (The)		3.25	%	12/1/2017		754		773,056
Fidelity National Financial, Inc.		6.60	%	5/15/2017		875		952,062
Graton Economic Development Authority†		9.625	%	9/1/2019		650		710,125
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.		7.375	%	10/1/2017		225		235,688
Legacy Reserves LP/Legacy Reserves Finance Corp.		8.00	%	12/1/2020		325		282,750
Lloyds Bank plc (United Kingdom)(b)		9.875	%	12/16/2021		275		308,110

See Notes to Financial Statements. 109

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Financial Services (continued)
Macquarie Group Ltd. (Australia)†(b)		6.00	%		1/14/2020	$	1,723	$	1,959,294
Macquarie Group Ltd. (Australia)†(b)		7.625	%		8/13/2019		116		138,646
MU Finance plc (United Kingdom)†(b)		8.375	%		2/1/2017		1,370		1,405,832
Nationstar Mortgage LLC/Nationstar Capital Corp.		9.625	%		5/1/2019		1,200		1,282,500
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†		5.875	%		3/15/2022		200		215,750
ROC Finance LLC/ROC Finance 1 Corp.†		12.125	%		9/1/2018		816		881,790
SteelRiver Transmission Co. LLC†		4.71	%		6/30/2017		571		595,495
TC Ziraat Bankasi AS (Turkey)†(b)		4.25	%		7/3/2019		200		201,360
Utility Contract Funding LLC†		7.944	%		10/1/2016		607		638,091
Western Union Co. (The)		2.875	%		12/10/2017		1,000		1,028,154
Western Union Co. (The)		3.35	%		5/22/2019		625		643,181
Western Union Co. (The)		5.93	%		10/1/2016		416		439,996
Total									33,173,105
Financial: Miscellaneous 0.22%
Kayne Anderson MLP Investment Co.		1.519	%	#	8/19/2016		1,700		1,699,405
NASDAQ OMX Group, Inc. (The)		5.25	%		1/16/2018		176		191,290
Total									1,890,695
Food 1.03%
Bumble Bee Holdings, Inc.†		9.00	%		12/15/2017		825		868,312
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. (Greece)†(b)		9.875	%		2/1/2020		100		105,750
H.J. Heinz Co.		4.25	%		10/15/2020		222		227,411
JBS USA LLC/JBS USA Finance, Inc. †		7.25	%		6/1/2021		899		954,289
Minerva Luxembourg SA (Luxembourg)†(b)		12.25	%		2/10/2022		200		221,000
Southern States Cooperative, Inc.†		10.00	%		8/15/2021		263		248,535
Tesco plc (United Kingdom)†(b)		5.50	%		11/15/2017		2,550		2,730,474
US Foods, Inc.		8.50	%		6/30/2019		2,702		2,830,345
Want Want China Finance Ltd. (China)†(b)		1.875	%		5/14/2018		700		693,323
Total									8,879,439
Gaming 0.50%
CCM Merger, Inc.†		9.125	%		5/1/2019		1,050		1,144,500
Mohegan Tribal Gaming Authority†		11.00	%		9/15/2018		975		981,094
MTR Gaming Group, Inc.		11.50	%		8/1/2019		45		48,263
Pinnacle Entertainment, Inc.		7.50	%		4/15/2021		1,327		1,414,914
Pinnacle Entertainment, Inc.		8.75	%		5/15/2020		673		704,967
Total									4,293,738

110 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Health Care 0.23%
Zoetis, Inc.		1.15	%	2/1/2016	$	700	$	700,789
Zoetis, Inc.		1.875	%	2/1/2018		1,300		1,300,927
Total								2,001,716
Health Care Products 1.47%
Biomet, Inc.		6.50	%	10/1/2020		1,975		2,076,811
Biomet, Inc.		6.50	%	8/1/2020		1,250		1,323,438
Boston Scientific Corp.		2.65	%	10/1/2018		23		23,421
Boston Scientific Corp.		2.85	%	5/15/2020		400		401,849
Boston Scientific Corp.		6.40	%	6/15/2016		375		396,554
Forest Laboratories, Inc.†		4.375	%	2/1/2019		3,607		3,853,300
Hologic, Inc.		6.25	%	8/1/2020		191		198,401
Immucor, Inc.		11.125	%	8/15/2019		876		935,130
Kinetic Concepts, Inc./KCI USA, Inc.		12.50	%	11/1/2019		1,053		1,153,035
Life Technologies Corp.		6.00	%	3/1/2020		1,658		1,904,482
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (Luxembourg)†(b)		4.875	%	4/15/2020		368		378,120
Total								12,644,541
Health Care Services 1.32%
Capella Healthcare, Inc.		9.25	%	7/1/2017		1,000		1,030,000
CHS/Community Health Systems, Inc.		8.00	%	11/15/2019		1,400		1,491,000
Emdeon, Inc.		11.00	%	12/31/2019		445		488,944
IASIS Healthcare LLC/IASIS Capital Corp.		8.375	%	5/15/2019		1,400		1,467,375
Omega Healthcare Investors, Inc.		6.75	%	10/15/2022		4,334		4,556,117
Senior Housing Properties Trust		3.25	%	5/1/2019		794		805,965
Senior Housing Properties Trust		4.30	%	1/15/2016		1,000		1,011,566
Senior Housing Properties Trust		6.75	%	4/15/2020		450		510,044
Total								11,361,011
Hospital Management 0.04%
United Surgical Partners International, Inc.		9.00	%	4/1/2020		200		215,250
Universal Health Services, Inc.†		3.75	%	8/1/2019		152		155,610
Total								370,860
Hospital Supplies 0.23%
Becton, Dickinson & Co.		6.375	%	8/1/2019		1,725		2,008,004
Industrial Products 0.07%
PPL UK Distribution Holdings Ltd. (United Kingdom)†(b)		7.25	%	12/15/2017		525		575,154

See Notes to Financial Statements. 111

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Insurance 0.99%
CNO Financial Group, Inc.		4.50	%	5/30/2020	$	190	$	196,759
CNO Financial Group, Inc.†		6.375	%	10/1/2020		600		640,170
Kemper Corp.		6.00	%	5/15/2017		500		535,043
TIAA Asset Management Finance Co. LLC†		2.95	%	11/1/2019		3,286		3,352,295
Torchmark Corp.		6.375	%	6/15/2016		625		658,243
Willis Group Holdings plc (United Kingdom)(b)		4.125	%	3/15/2016		1,375		1,406,507
Willis North America, Inc.		6.20	%	3/28/2017		1,625		1,740,628
Total								8,529,645
Investment Management Companies 0.14%
Lazard Group LLC		6.85	%	6/15/2017		179		196,412
Leucadia National Corp.		8.125	%	9/15/2015		1,000		1,019,375
Total								1,215,787
Leasing 0.65%
Aviation Capital Group Corp.†		3.875	%	9/27/2016		500		512,093
Aviation Capital Group Corp.†		4.625	%	1/31/2018		2,000		2,087,284
Aviation Capital Group Corp.†		7.125	%	10/15/2020		341		399,785
International Lease Finance Corp.		5.875	%	4/1/2019		115		126,052
International Lease Finance Corp.		6.25	%	5/15/2019		750		834,375
International Lease Finance Corp.†		7.125	%	9/1/2018		1,425		1,606,687
Penske Truck Leasing Co. LP/PTL Finance Corp.†		2.875	%	7/17/2018		50		51,118
Total								5,617,394
Leisure 0.10%
Central Garden & Pet Co.		8.25	%	3/1/2018		847		869,869
Lodging 1.46%
Eldorado Resorts LLC/Eldorado Capital Corp.†		8.625	%	6/15/2019		400		421,500
Host Hotels & Resorts LP		5.875	%	6/15/2019		4,356		4,490,304
Host Hotels & Resorts LP		6.00	%	11/1/2020		5,811		6,107,361
Hyatt Hotels Corp.†		6.875	%	8/15/2019		50		58,196
Marina District Finance Co., Inc.		9.875	%	8/15/2018		883		919,424
Studio City Finance Ltd. (Hong Kong)†(b)		8.50	%	12/1/2020		541		549,115
Total								12,545,900
Machinery: Agricultural 0.47%
Lorillard Tobacco Co.		6.875	%	5/1/2020		837		984,716
Lorillard Tobacco Co.		8.125	%	6/23/2019		2,538		3,081,548
Total								4,066,264

112 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Machinery: Industrial/Specialty 0.01%
Cleaver-Brooks, Inc.†		8.75	%		12/15/2019	$	75	$	75,938
Machinery: Oil Well Equipment & Services 0.06%
National Oilwell Varco, Inc.		6.125	%		8/15/2015		500		500,366
Media 0.19%
Harron Communications LP/Harron Finance Corp.†		9.125	%		4/1/2020		400		435,000
Sirius XM Radio, Inc.†		5.25	%		8/15/2022		150		158,813
Videotron Ltd. (Canada)(b)		9.125	%		4/15/2018		73		74,460
WideOpenWest Finance LLC/WideOpenWest Capital Corp.		10.25	%		7/15/2019		896		959,840
Total									1,628,113
Merchandising 0.10%
Kemet Corp.		10.50	%		5/1/2018		827		843,540
Metal Fabricating 0.20%
Edgen Murray Corp.†		8.75	%		11/1/2020		1,346		1,467,140
Glencore Canada Corp. (Canada)(b)		5.50	%		6/15/2017		200		213,246
Glencore Canada Corp. (Canada)(b)		6.00	%		10/15/2015		25		25,438
Total									1,705,824
Metals & Minerals: Miscellaneous 0.65%
Anglo American Capital plc (United Kingdom)†(b)		1.225	%	#	4/15/2016		250		249,931
AngloGold Ashanti Holdings plc (Isle Of Man)(b)		8.50	%		7/30/2020		200		219,142
Barrick Gold Corp. (Canada)(b)		2.90	%		5/30/2016		50		50,543
Barrick International Barbados Corp. (Barbados)†(b)		5.75	%		10/15/2016		75		79,396
Glencore Finance Canada Ltd. (Canada)†(b)		3.60	%		1/15/2017		838		864,250
KGHM International Ltd. (Canada)†(b)		7.75	%		6/15/2019		535		557,604
Kinross Gold Corp. (Canada)(b)		3.625	%		9/1/2016		2,500		2,508,427
New Gold, Inc. (Canada)†(b)		7.00	%		4/15/2020		1,038		1,087,305
Total									5,616,598
Natural Gas 0.19%
Bill Barrett Corp.		7.625	%		10/1/2019		185		177,600
Kinder Morgan, Inc.		7.00	%		6/15/2017		850		931,524
Kinder Morgan, Inc.		7.25	%		6/1/2018		300		339,502
Southern Star Central Gas Pipeline, Inc.†		6.00	%		6/1/2016		110		114,285
Tennessee Gas Pipeline Co. LLC		7.50	%		4/1/2017		50		54,964
Total									1,617,875

See Notes to Financial Statements. 113

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Oil 2.57%
Afren plc (United Kingdom)†(b)(c)		6.625	%		12/9/2020	$	200	$	89,000
Afren plc (United Kingdom)†(b)(c)		10.25	%		4/8/2019		200		89,000
Afren plc (United Kingdom)†(b)(c)		11.50	%		2/1/2016		400		184,000
Antero Resources Corp.		6.00	%		12/1/2020		700		721,000
Canadian Oil Sands Ltd. (Canada)†(b)		7.75	%		5/15/2019		724		796,057
Chaparral Energy, Inc.		8.25	%		9/1/2021		528		430,320
Chaparral Energy, Inc.		9.875	%		10/1/2020		780		676,650
CNPC General Capital Ltd. (China)†(b)		1.45	%		4/16/2016		400		400,573
CNPC General Capital Ltd. (China)†(b)		2.75	%		4/19/2017		200		204,019
Concho Resources, Inc.		6.50	%		1/15/2022		350		369,250
Continental Resources, Inc.		7.125	%		4/1/2021		2,483		2,644,395
Continental Resources, Inc.		7.375	%		10/1/2020		2,634		2,770,639
DCP Midstream LLC†		9.75	%		3/15/2019		875		1,024,459
Harvest Operations Corp. (Canada)†(b)		2.125	%		5/14/2018		200		201,610
Hilcorp Energy I LP/Hilcorp Finance Co.†		7.625	%		4/15/2021		625		654,687
Hilcorp Energy I LP/Hilcorp Finance Co.†		8.00	%		2/15/2020		1,235		1,285,017
MEG Energy Corp. (Canada)†(b)		6.50	%		3/15/2021		500		487,500
Panhandle Eastern Pipeline Co. LP		7.00	%		6/15/2018		500		568,820
Petroleos de Venezuela SA (Venezuela)(b)		5.25	%		4/12/2017		100		54,450
Petroleos de Venezuela SA (Venezuela)†(b)		8.50	%		11/2/2017		830		617,312
Ras Laffan Liquefied Natural Gas Co., Ltd. III (Qatar)†(b)		5.832	%		9/30/2016		301		312,966
Rosetta Resources, Inc.		5.625	%		5/1/2021		1,036		1,103,444
Rosneft Oil Co. via Rosneft International Finance Ltd. (Ireland)†(b)		3.149	%		3/6/2017		700		676,375
Seven Generations Energy Ltd. (Canada)†(b)		8.25	%		5/15/2020		425		457,938
Sinopec Group Overseas Development 2013 Ltd.†		2.50	%		10/17/2018		500		507,529
Sinopec Group Overseas Development 2014 Ltd.†		1.051	%	#	4/10/2017		700		699,385
Sinopec Group Overseas Development 2015 Ltd.†		2.50	%		4/28/2020		500		497,839
Valero Energy Corp.		9.375	%		3/15/2019		1,600		1,995,011
Whiting Canadian Holding Co. ULC		8.125	%		12/1/2019		1,334		1,420,710
Woodside Finance Ltd. (Australia)†(b)		8.75	%		3/1/2019		100		122,025
Total									22,061,980
Oil: Crude Producers 1.53%
Anadarko Petroleum Corp.		5.95	%		9/15/2016		400		424,047
Anadarko Petroleum Corp.		6.375	%		9/15/2017		43		47,520
Anadarko Petroleum Corp.		8.70	%		3/15/2019		50		61,011
Cimarex Energy Co.		5.875	%		5/1/2022		208		225,420

114 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Oil: Crude Producers (continued)
Columbia Pipeline Group, Inc.†		2.45	%		6/1/2018	$	652	$	658,467
Columbia Pipeline Group, Inc.†		3.30	%		6/1/2020		250		252,271
Enbridge Energy Partners LP		5.20	%		3/15/2020		300		328,573
EnLink Midstream Partners LP/EnLink Midstream Finance Corp.		7.125	%		6/1/2022		1,931		2,154,704
Hiland Partners LP/Hiland Partners Finance Corp.†		7.25	%		10/1/2020		2,476		2,705,030
Kinder Morgan Finance Co. LLC		5.70	%		1/5/2016		400		411,242
Midcontinent Express Pipeline LLC†		6.70	%		9/15/2019		747		809,561
OGX Austria GmbH (Austria)†(b)(c)		8.50	%		6/1/2018		225		1,350
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp.		6.50	%		5/15/2021		225		240,354
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp.		8.375	%		6/1/2020		433		477,469
Range Resources Corp.		6.75	%		8/1/2020		50		52,125
Sabine Pass LNG LP		6.50	%		11/1/2020		761		804,757
Sunoco Logistics Partners Operations LP		6.125	%		5/15/2016		400		418,121
Sunoco, Inc.		5.75	%		1/15/2017		250		264,271
W&T Offshore, Inc.		8.50	%		6/15/2019		460		330,050
Williams Partners LP/ACMP Finance Corp.		4.875	%		5/15/2023		883		902,851
Williams Partners LP/ACMP Finance Corp.		6.125	%		7/15/2022		1,416		1,524,558
Total									13,093,752
Oil: Integrated Domestic 0.87%
Buckeye Partners LP		4.875	%		2/1/2021		250		261,626
Buckeye Partners LP		6.05	%		1/15/2018		225		244,995
Freeport-McMoran Oil & Gas LLC/FCX Oil &Gas, Inc.		6.50	%		11/15/2020		1,146		1,217,625
Freeport-McMoran Oil & Gas LLC/FCX Oil &Gas, Inc.		6.625	%		5/1/2021		1,349		1,419,822
Freeport-McMoran Oil & Gas LLC/FCX Oil &Gas, Inc.		6.75	%		2/1/2022		544		580,720
Kinder Morgan Energy Partners LP		4.10	%		11/15/2015		1,000		1,013,662
Kinder Morgan Energy Partners LP		6.50	%		4/1/2020		1,312		1,513,514
Rowan Cos., Inc.		7.875	%		8/1/2019		825		931,376
Texas Gas Transmission LLC		4.60	%		6/1/2015		305		305,000
Total									7,488,340
Oil: Integrated International 0.99%
Petrobras Global Finance BV (Netherlands)(b)		1.896	%	#	5/20/2016		700		689,633
Petrobras Global Finance BV (Netherlands)(b)		2.415	%	#	1/15/2019		200		188,750

See Notes to Financial Statements. 115

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Oil: Integrated International (continued)
Petrobras Global Finance BV (Netherlands)(b)		2.631	%	#	3/17/2017	$	2,200	$	2,156,330
Petrobras Global Finance BV (Netherlands)(b)		3.50	%		2/6/2017		200		199,660
Petrobras Global Finance BV (Netherlands)(b)		3.875	%		1/27/2016		550		552,887
Petroleos Mexicanos (Mexico)(b)		2.295	%	#	7/18/2018		800		822,000
Transocean, Inc.		6.375	%		12/15/2021		765		721,969
Weatherford International Ltd.		9.625	%		3/1/2019		2,675		3,150,409
Total									8,481,638
Paper & Forest Products 0.22%
Coveris Holding Corp.†		10.00	%		6/1/2018		1,250		1,331,250
Mercer International, Inc. (Canada)(b)		7.00	%		12/1/2019		500		530,000
Total									1,861,250
Production Technology Equipment 0.04%
CNOOC Finance 2013 Ltd. (Hong Kong)(b)		1.75	%		5/9/2018		300		299,853
Real Estate Investment Trusts 1.86%
American Tower Corp.		2.80	%		6/1/2020		1,000		995,620
American Tower Corp.		7.25	%		5/15/2019		2,525		2,943,978
ARC Properties Operating Partnership LP		2.00	%		2/6/2017		500		490,000
ARC Properties Operating Partnership LP		3.00	%		2/6/2019		3,415		3,295,475
Boston Properties LP		5.625	%		11/15/2020		1,500		1,738,837
DDR Corp.		7.50	%		7/15/2018		481		557,221
DDR Corp.		9.625	%		3/15/2016		130		138,629
Digital Realty Trust LP		5.875	%		2/1/2020		1,794		2,038,101
Duke Realty LP		5.50	%		3/1/2016		400		413,187
EPR Properties		7.75	%		7/15/2020		1,100		1,323,276
Hospitality Properties Trust		6.30	%		6/15/2016		500		512,720
Kilroy Realty LP		4.80	%		7/15/2018		494		530,431
Reckson Operating Partnership LP		6.00	%		3/31/2016		250		259,975
SL Green Realty Corp.		7.75	%		3/15/2020		600		721,501
Total									15,958,951
Restaurants 0.47%
Darden Restaurants, Inc.		6.45	%		10/15/2017		2,749		3,026,745
Yum! Brands, Inc.		6.25	%		4/15/2016		1,000		1,046,157
Total									4,072,902
Retail 0.71%
Academy Ltd./Academy Finance Corp.†		9.25	%		8/1/2019		298		316,625
Checkers Drive-In Restaurants, Inc.†		11.00	%		12/1/2017		75		81,469

116 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Retail (continued)
Chinos Intermediate Holdings A, Inc. PIK†		7.75	%		5/1/2019	$	1,680	$	1,449,000
DBP Holding Corp.†		7.75	%		10/15/2020		335		293,962
New Academy Finance Co. LLC/New Academy Finance Corp. PIK†		8.00	%		6/15/2018		500		506,250
Party City Holdings, Inc.		8.875	%		8/1/2020		650		702,975
PETCO Holdings, Inc. PIK†		8.50	%		10/15/2017		1,398		1,443,435
Tops Holding LLC/Tops Markets LLC		8.875	%		12/15/2017		1,250		1,312,500
Total									6,106,216
Security Services 0.04%
Smith & Wesson Holding Corp.†		5.875	%		6/15/2017		300		309,495
Specialty Retail 0.01%
Petco Animal Supplies, Inc.†		9.25	%		12/1/2018		100		105,125
Steel 0.40%
Allegheny Technologies, Inc.		9.375	%		6/1/2019		1,371		1,634,918
Glencore Funding LLC†		1.445	%	#	5/27/2016		1,050		1,053,281
Glencore Funding LLC†		1.70	%		5/27/2016		500		501,441
Vale Overseas Ltd. (Brazil)(b)		6.25	%		1/11/2016		200		206,146
Total									3,395,786
Technology 0.53%
Alibaba Group Holding Ltd. (China)†(b)		1.625	%		11/28/2017		1,000		1,003,768
Alibaba Group Holding Ltd. (China)†(b)		2.50	%		11/28/2019		1,548		1,545,113
Baidu, Inc. (China)(b)		2.25	%		11/28/2017		200		202,266
Baidu, Inc. (China)(b)		2.75	%		6/9/2019		200		202,310
Baidu, Inc. (China)(b)		3.25	%		8/6/2018		500		518,181
Fiserv, Inc.		6.80	%		11/20/2017		425		485,929
Viasystems, Inc.†		7.875	%		5/1/2019		515		547,831
Total									4,505,398
Telecommunications 1.52%
Altice Financing SA (Luxembourg)†(b)		7.875	%		12/15/2019		400		425,500
AT&T, Inc.		2.40	%		8/15/2016		1,000		1,014,809
AT&T, Inc.		2.45	%		6/30/2020		1,125		1,115,696
AT&T, Inc.		2.95	%		5/15/2016		3,000		3,052,830
AT&T, Inc.		5.80	%		2/15/2019		1,500		1,694,004
Block Communications, Inc.†		7.25	%		2/1/2020		650		671,125
Consolidated Communications, Inc.		10.875	%		6/1/2020		1,400		1,573,250
Embarq Corp.		7.082	%		6/1/2016		175		184,466

See Notes to Financial Statements. 117

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

						Principal
	Interest				Maturity	Amount		Fair
Investments	Rate				Date	(000)		Value
Telecommunications (continued)
Intelsat Jackson Holdings SA (Luxembourg)(b)		7.25	%		4/1/2019	$	1,328	$	1,366,180
Qwest Corp.		7.625	%		6/15/2015		531		532,014
Sable International Finance Ltd.†		8.75	%		2/1/2020		750		810,000
T-Mobile USA, Inc.		6.464	%		4/28/2019		515		533,347
T-Mobile USA, Inc.		6.625	%		11/15/2020		92		96,600
Total									13,069,821
Telephone-Long Distance 0.07%
America Movil SAB de CV (Mexico)(b)		1.268	%	#	9/12/2016		600		601,928
Textiles Products 0.05%
Polymer Group, Inc.		7.75	%		2/1/2019		372		387,345
Tobacco 0.11%
Reynolds American, Inc.		6.75	%		6/15/2017		300		330,385
Reynolds American, Inc.		7.75	%		6/1/2018		525		608,710
Total									939,095
Transportation: Miscellaneous 0.08%
Kazakhstan Temir Zholy Finance BV (Netherlands)(b)		7.00	%		5/11/2016		300		312,336
Transnet SOC Ltd. (South Africa)†(b)		4.50	%		2/10/2016		400		408,149
Total									720,485
Truckers 0.06%
Con-way, Inc.		7.25	%		1/15/2018		463		519,017
Utilities 0.22%
Origin Energy Finance Ltd. (Australia)†(b)		3.50	%		10/9/2018		1,100		1,128,072
Public Service Co. of New Mexico		7.95	%		5/15/2018		635		743,369
Total									1,871,441
Utilities: Electrical 0.05%
Israel Electric Corp. Ltd. (Israel)†(b)		6.70	%		2/10/2017		400		428,500
Utilities: Miscellaneous 0.05%
MarkWest Energy Partners LP/MarkWest Energy
Finance Corp.		6.75	%		11/1/2020		387		410,046
Wholesale 0.14%
Interline Brands, Inc. PIK		10.00	%		11/15/2018		1,113		1,170,041
Total Corporate Bonds (cost $365,833,588)									365,594,184

118 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
FLOATING RATE LOANS(e) 3.93%
Aerospace/Defense 0.45%
Alliant Techsystems, Inc. Term Loan B		3.50	%	11/1/2020	$	497	$	499,143
Delos Finance S.A.R.L. Term Loan (Luxembourg)(b)		3.50	%	3/6/2021		2,583		2,589,225
DigitalGlobe, Inc. Term Loan		3.75	%	1/31/2020		823		825,731
Total								3,914,099
Banks: Money Center 0.07%
Ocwen Loan Servicing Initial Term Loan		5.00	%	2/15/2018		581		577,138
Drugs 0.01%
Warner Chilcott Corp. 3 Year Term Loan		1.685	%	10/1/2016		104		103,449
Energy Equipment & Services 0.04%
Templar Energy LLC 2nd Lien New Term Loan		8.50	%	11/25/2020		425		329,481
Food 0.16%
Aramark Corp. Term Loan E		3.25	%	9/7/2019		1,218		1,222,597
New HB Acquisition LLC Term Loan B		6.75	%	4/9/2020		124		125,761
Total								1,348,358
Gaming 0.58%
Las Vegas Sands LLC Term Loan B		3.25	%	12/19/2020		3,346		3,349,589
Seminole Tribe of Florida Initial Term Loan		3.00	%	4/29/2020		1,601		1,603,186
Total								4,952,775
Health Care 0.98%
Amgen, Inc. Term Loan		1.275	%	9/18/2018		296		295,331
Ardent Medical Services, Inc. 2nd Lien Term Loan		11.00	%	1/2/2019		107		108,616
Becton, Dickinson & Co. Term Loan		1.25	%	11/26/2021		1,050		1,050,000
Express Scripts Holding Co. 2 Year Term Loan		—	(f)	4/28/2017		500		498,750
Express Scripts Holding Co. 5 Year Term Loan		—	(f)	4/28/2020		750		748,125
Fresenius Medical Care AG & Co. KGaA Tranche A Term Loan		1.653	%	10/30/2017		1,269		1,272,520
Fresenius US Finance I, Inc. Tranche B Term Loan (Germany)(b)		2.273	%	8/7/2019		2,200		2,206,103
Mallinckrodt International Finance SA Incremental Term Loan B1 (Luxembourg)(b)		3.50	%	3/19/2021		300		300,074
Mallinckrodt International Finance SA Initial Term Loan B (Luxembourg)(b)		3.25	%	3/19/2021		1,434		1,434,461
PharMedium Healthcare Corp. 2nd Lien Initial Term Loan		7.75	%	1/28/2022		247		248,853

See Notes to Financial Statements. 119

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

					Principal
	Interest			Maturity	Amount		Fair
Investments	Rate			Date	(000)		Value
Health Care (continued)
Thermo Fisher Scientific, Inc. Committed Term Loan		1.649	%	1/31/2017	$	278	$	277,558
Total								8,440,391
Health Care Products 0.07%
Biomet, Inc. Dollar Term Loan B2		3.685	%	7/25/2017		596		595,893
Leisure 0.01%
ROC Finance LLC Funded Term Loan B		5.00	%	6/20/2019		99		97,310
Media 0.37%
AMC Networks, Inc. Term Loan A		1.93	%	12/16/2019		3,191		3,167,192
Metals & Minerals: Miscellaneous 0.01%
American Rock Salt Co. LLC 2nd Lien Delayed Draw Term Loan		8.00	%	5/20/2022		100		102,021
Retail 0.06%
Staples, Inc. 1st Lien Term Loan		—	(f)	4/23/2021		500		501,095
Services 0.33%
Hertz Corp. (The) Letter of Credit Term Loan		1.00	%	3/11/2018		913		905,605
Kasima LLC Term Loan		3.25	%	5/17/2021		1,775		1,775,368
Neff Rental LLC 2nd Lien Closing Date Term Loan		7.25	%	6/9/2021		125		124,175
Total								2,805,148
Technology 0.25%
Avago Technologies Cayman Ltd. Term Loan		3.75	%	5/6/2021		1,633		1,637,056
Sensata Technologies B.V. 6th Amendment Term Loan (Netherlands)(b)		3.00	%	10/14/2021		498		499,542
Total								2,136,598
Telecommunications 0.29%
Activision Blizzard, Inc. Term Loan		3.25	%	10/12/2020		2,237		2,250,636
American Tower Corp. Term Loan A		1.44	%	1/3/2019		250		249,687
Total								2,500,323
Utilities 0.21%
Moxie Liberty LLC Advance Construction Term Loan B1		7.50	%	8/21/2020		636		637,590
Panda Sherman Power LLC Advance Construction Term Loan		9.00	%	9/14/2018		198		197,044
Texas Competitive Electric Holdings Co. LLC DIP 2014 Delayed Draw Term Loan		3.75	%	5/5/2016		583		586,935

120 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)			Fair Value
Utilities (continued)
Windsor Financing LLC Facility B Term Loan	6.25%	12/5/2017	$	352		$	355,267
Total							1,776,836
Utilities: Miscellaneous 0.04%
Moxie Patriot LLC Advanced Construction Term Loan B1	6.75%	12/19/2020		356			356,000
Total Floating Rate Loans (cost $33,701,787)							33,704,107
FOREIGN BONDS(d) 0.07%
France 0.03%
Europcar Groupe SA†	9.375%	4/15/2018	EUR	100			115,871
SMCP SAS†	8.875%	6/15/2020	EUR	131			156,833
Total							272,704
Luxembourg 0.01%
Findus Bondco SA†	9.125%	7/1/2018	EUR	100			115,871
United Kingdom 0.03%
R&R Ice Cream plc PIK†	9.25%	5/15/2018	EUR	200			223,778
Total Foreign Bonds (cost $694,556)							612,353
FOREIGN GOVERNMENT OBLIGATIONS(b) 0.22%
Argentina 0.04%
City of Buenos Aires†	9.95%	3/1/2017	$	200			208,000
Provincia de Neuquen†	7.875%	4/26/2021		110			111,143
Total							319,143
Brazil 0.09%
Federal Republic of Brazil	8.00%	1/15/2018		733			793,833
Dominican Republic 0.01%
Dominican Republic†	9.04%	1/23/2018		79			84,990
Gabon 0.00%
Republic of Gabon†	6.375%	12/12/2024		—	(g)		895
Indonesia 0.03%
Perusahaan Penerbit SBSN†	4.00%	11/21/2018		200			210,250
Mongolia 0.02%
Republic of Mongolia†	4.125%	1/5/2018		200			192,500

See Notes to Financial Statements. 121

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Peru 0.01%
Republic of Peru	8.375%		5/3/2016	$	100	$	106,750
Poland 0.02%
Republic of Poland	5.00%		10/19/2015		175		178,367
Total Foreign Government Obligations (cost $1,882,146)							1,886,728
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.75%
Federal Home Loan Mortgage Corp. 2011-K704 B†	4.535%	#	10/25/2030		2,800		2,992,251
Federal Home Loan Mortgage Corp. 2012-K705 C†	4.161%	#	9/25/2044		135		140,925
Federal Home Loan Mortgage Corp. 2012-K706 B†	4.027%	#	11/25/2044		300		316,291
Federal Home Loan Mortgage Corp. 2012-K707 B†	3.883%	#	1/25/2047		100		104,753
Federal Home Loan Mortgage Corp. 2012-K708 C†	3.755%	#	2/25/2045		500		515,714
Federal Home Loan Mortgage Corp. 2012-K709 B†	3.741%	#	4/25/2045		1,225		1,285,291
Federal Home Loan Mortgage Corp. 2012-K709 C†	3.741%	#	4/25/2045		1,693		1,745,737
Federal Home Loan Mortgage Corp. 2012-K710 B†	3.819%	#	6/25/2047		200		208,703
Federal Home Loan Mortgage Corp. 2012-K711 B†	3.562%	#	8/25/2045		1,446		1,508,045
Federal Home Loan Mortgage Corp. 2013-K712 B†	3.368%	#	5/25/2045		300		307,551
Federal Home Loan Mortgage Corp. 2013-K713 B†	3.165%	#	4/25/2046		800		812,364
Government National Mortgage Assoc. 2013-162 A	2.75%		9/16/2046		141		141,129
Government National Mortgage Assoc. 2013-171 IO	1.141%	#	6/16/2054		9,710		828,692
Government National Mortgage Assoc. 2013-193 IO	1.097%	#	1/16/2055		3,662		308,095
Government National Mortgage Assoc. 2014-15 IO	1.059%	#	8/16/2054		9,815		754,872
Government National Mortgage Assoc. 2014-64 IO	1.308%	#	12/16/2054		58,898		5,305,110
Government National Mortgage Assoc. 2014-70 A	2.50%		3/16/2049		46		46,787
Government National Mortgage Assoc. 2014-78 A	2.20%		4/16/2047		392		394,543
Government National Mortgage Assoc. 2014-112 A	3.00%		1/16/2048		485		501,790
Government National Mortgage Assoc. 2014-135 AS	2.30%		2/16/2047		697		706,278
Government National Mortgage Assoc. 2015-19 AD	2.90%		10/16/2055		465		474,596
Government National Mortgage Assoc. 2015-22 AS	2.90%		1/16/2049		996		1,019,061
Government National Mortgage Assoc. 2015-48 AS	2.90%	#	2/16/2049		2,196		2,238,208
Government National Mortgage Assoc. 2015-73 AC	2.90%	#	2/16/2053		905		925,840
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $23,306,130)							23,582,626
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 4.59%
Federal Home Loan Mortgage Corp.	2.197%	#	6/1/2038		196		207,842
Federal Home Loan Mortgage Corp.	2.237%	#	12/1/2037		465		495,273
Federal Home Loan Mortgage Corp.	2.255%	#	2/1/2038		555		589,678

122 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued)
Federal Home Loan Mortgage Corp.	2.265%	#	12/1/2035	$	314	$	334,750
Federal Home Loan Mortgage Corp.	2.273%	#	4/1/2037		171		181,879
Federal Home Loan Mortgage Corp.	2.295%	#	7/1/2034		432		459,759
Federal Home Loan Mortgage Corp.	2.296%	#	12/1/2039		839		891,202
Federal Home Loan Mortgage Corp.	2.304%	#	12/1/2036		454		485,343
Federal Home Loan Mortgage Corp.	2.305%	#	10/1/2038		128		137,162
Federal Home Loan Mortgage Corp.	2.317%	#	2/1/2035		832		885,930
Federal Home Loan Mortgage Corp.	2.333%	#	5/1/2036		167		178,399
Federal Home Loan Mortgage Corp.	2.346%	#	10/1/2039		211		223,896
Federal Home Loan Mortgage Corp.	2.365%	#	6/1/2038		140		148,765
Federal Home Loan Mortgage Corp.	2.474%	#	9/1/2036		414		444,685
Federal Home Loan Mortgage Corp.	2.543%	#	2/1/2037		357		384,063
Federal Home Loan Mortgage Corp.	2.634%	#	12/1/2035		739		795,376
Federal Home Loan Mortgage Corp.	3.092%	#	10/1/2043		2,871		2,979,299
Federal Home Loan Mortgage Corp.	3.156%	#	11/1/2043		3,549		3,699,352
Federal Home Loan Mortgage Corp.	3.23%	#	12/1/2040		2,167		2,291,162
Federal Home Loan Mortgage Corp.	3.773%	#	12/1/2040		1,495		1,575,307
Federal National Mortgage Assoc.	1.924%	#	6/1/2038		765		813,443
Federal National Mortgage Assoc.	2.023%	#	2/1/2036		321		341,168
Federal National Mortgage Assoc.	2.025%	#	12/1/2035		607		644,404
Federal National Mortgage Assoc.	2.026%	#	10/1/2035		692		736,156
Federal National Mortgage Assoc.	2.069%	#	1/1/2036		1,236		1,312,849
Federal National Mortgage Assoc.	2.121%	#	3/1/2039		307		326,490
Federal National Mortgage Assoc.(h)	2.129%	#	11/1/2036		2,339		2,489,497
Federal National Mortgage Assoc.	2.194%	#	8/1/2037		36		38,073
Federal National Mortgage Assoc.	2.206%	#	3/1/2038		652		694,944
Federal National Mortgage Assoc.	2.211%	#	9/1/2038		319		339,588
Federal National Mortgage Assoc.	2.232%	#	1/1/2038		512		545,243
Federal National Mortgage Assoc.	2.238%	#	8/1/2038		171		181,486
Federal National Mortgage Assoc.	2.245%	#	11/1/2038		1,264		1,344,676
Federal National Mortgage Assoc.	2.346%	#	1/1/2038		432		461,939
Federal National Mortgage Assoc.	2.388%	#	3/1/2038		177		189,991
Federal National Mortgage Assoc.	2.489%	#	12/1/2038		186		199,711
Federal National Mortgage Assoc.	2.58%		11/1/2018		495		512,362
Federal National Mortgage Assoc.	2.898%	#	6/1/2042		3,891		4,035,835
Federal National Mortgage Assoc.	2.941%	#	5/1/2042		4,443		4,617,583
Federal National Mortgage Assoc.	3.363%	#	12/1/2040		470		500,303
Federal National Mortgage Assoc.	3.412%	#	12/1/2040		832		886,524

See Notes to Financial Statements. 123

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued)
Federal National Mortgage Assoc.	3.455%	#	10/1/2040	$	311	$	330,303
Federal National Mortgage Assoc.	3.981%	#	4/1/2040		433		463,301
Total Government Sponsored Enterprises Pass-Throughs (cost $39,254,643)							39,394,991
MUNICIPAL BONDS 0.11%
Miscellaneous 0.05%
IL State GO	2.77%		4/1/2018		350		348,596
New Jersey Econ Dev Auth (AGM)	Zero Coupon		2/15/2019		100		88,154
Total							436,750
Nursing Home 0.06%
New Jersey Econ Dev Auth	2.421%		6/15/2018		500		504,910
Power 0.00%
Guam Pwr Auth	7.50%		10/1/2015		35		35,032
Total Municipal Bonds (cost $976,409)							976,692
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 23.23%
Americold LLC Trust 2010-ARTA A1†	3.847%		1/14/2029		267		279,755
BAMLL Commercial Mortgage Securities Trust 2014-IP A†	2.717%	#	6/15/2028		6,387		6,571,000
BAMLL Commercial Mortgage Securities Trust 2014-IP B†	2.717%	#	6/15/2028		350		357,170
BAMLL Commercial Mortgage Securities Trust 2014-IP C†	2.717%	#	6/15/2028		620		628,823
BAMLL-DB Trust 2012-OSI A1†	2.343%		4/13/2029		498		502,370
BAMLL-DB Trust 2012-OSI A2FX†	3.352%		4/13/2029		527		540,934
Banc of America Commercial Mortgage Trust 2006-6 AM	5.39%		10/10/2045		2,500		2,631,997
Banc of America Commercial Mortgage Trust 2007-2 AM	5.623%	#	4/10/2049		2,500		2,655,631
Banc of America Commercial Mortgage Trust 2007-3 AM	5.576%	#	6/10/2049		500		537,017
Banc of America Commercial Mortgage Trust 2007-3 AMF	5.317%		6/10/2049		700		747,458
Banc of America Re-REMIC Trust 2009-UB1 A4B†	5.593%	#	6/24/2050		1,000		1,061,400
Banc of America Re-REMIC Trust 2010-RC30 A5B†	5.334%		12/16/2043		379		394,932
Banc of America Re-REMIC Trust 2010-UB3 A4B3†	5.947%	#	2/15/2051		230		244,836
BB-UBS Trust 2012-TFT A†	2.892%		6/5/2030		250		249,921
BBCMS Trust 2015-VFM A1†	2.466%		3/15/2036		551		550,569
BBCMS Trust 2015-VFM X IO†	0.513%	#	3/15/2036		96,705		3,091,986

124 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 E†	5.406%		11/11/2041	$	595	$	658,396
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 F†	5.882%	#	11/11/2041		595		659,745
Bear Stearns Commercial Mortgage Securities Trust 2007-PW16 AM	5.706%	#	6/11/2040		2,000		2,154,973
Bear Stearns Commercial Mortgage Securities Trust 2007-PW17 AM	5.885%	#	6/11/2050		2,000		2,173,929
Bear Stearns Deutsche Bank Trust 2005-AFR1 A2†	5.008%		9/15/2027		169		185,684
BWAY Mortgage Trust 2013-1515 XB IO†	0.403%	#	3/10/2033		47,800		1,737,387
CFCRE Commercial Mortgage Trust 2011-C1 A2†	3.759%		4/15/2044		2,595		2,630,967
CG-CCRE Commercial Mortgage Trust 2014-FL1 A†	1.136%	#	6/15/2031		350		349,720
CG-CCRE Commercial Mortgage Trust 2014-FL1 XCP IO†	1.466%	#	6/15/2031		4,500		37,058
CGBAM Commercial Mortgage Trust 2015-SMRT B†	3.213%		4/10/2028		488		501,283
CGBAM Commercial Mortgage Trust 2015-SMRT C†	3.516%		4/10/2028		366		376,093
Citigroup Commercial Mortgage Trust 2007-C6 AM	5.711%	#	12/10/2049		4,000		4,264,018
Citigroup Commercial Mortgage Trust 2010-RR2 CA3B†	5.311%		12/19/2039		160		166,770
Citigroup Commercial Mortgage Trust 2013-GC11 A2	1.987%		4/10/2046		740		749,241
Citigroup Commercial Mortgage Trust 2013-SMP C†	2.738%		1/12/2030		3,850		3,925,858
Citigroup Commercial Mortgage Trust 2013-SMP D†	2.911%	#	1/12/2030		500		508,286
Citigroup Commercial Mortgage Trust 2014-388G B†	1.236%	#	6/15/2033		452		451,048
Citigroup Commercial Mortgage Trust 2014-388G C†	1.586%	#	6/15/2033		250		250,544
Citigroup Commercial Mortgage Trust 2014-388G XCP IO†	0.643%	#	6/15/2033		20,000		98,400
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO	0.227%	#	7/10/2047		3,452		69,989
Citigroup Mortgage Loan Trust 2013-2 2A1†	0.291%	#	10/25/2036		546		528,987
Citigroup Mortgage Loan Trust 2013-2 5A1†	0.321%	#	7/25/2036		551		522,113
Citigroup Mortgage Loan Trust 2013-3 1A1†	0.802%	#	7/25/2036		727		700,993

See Notes to Financial Statements. 125

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
COBALT CMBS Commercial Mortgage Trust 2007-C2 AM†	5.461%		4/15/2047	$	220	$	233,974
COBALT CMBS Commercial Mortgage Trust 2007-C2 AMFX	5.526%		4/15/2047		2,040		2,173,757
Commercial Mortgage Pass-Through Certificates 2004-LB2A G†	5.54%		3/10/2039		750		844,546
Commercial Mortgage Pass-Through Certificates 2010-C1 A1†	3.156%		7/10/2046		891		894,737
Commercial Mortgage Pass-Through Certificates 2010-C1 C†	5.752%	#	7/10/2046		100		115,403
Commercial Mortgage Pass-Through Certificates 2012-9W57 X IO†	1.399%	#	2/10/2029		12,000		250,842
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO	1.953%	#	10/15/2045		5,771		564,724
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1†	2.15%		10/5/2030		783		778,580
Commercial Mortgage Pass-Through Certificates 2012-MVP A†	2.122%	#	11/17/2026		125		125,405
Commercial Mortgage Pass-Through Certificates 2012-MVP B†	1.783%	#	11/17/2026		1,519		1,518,989
Commercial Mortgage Pass-Through Certificates 2012-MVP C†	2.333%	#	11/17/2026		405		405,019
Commercial Mortgage Pass-Through Certificates 2012-MVP D†	3.183%	#	11/17/2026		1,300		1,304,474
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2	2.122%		3/10/2046		56		56,995
Commercial Mortgage Pass-Through Certificates 2013-CR7 A2	2.022%		3/10/2046		500		507,235
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO	1.526%	#	3/10/2046		11,417		875,051
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO	0.728%	#	6/10/2046		19,554		673,295
Commercial Mortgage Pass-Through Certificates 2013-GAM A2†	3.367%		2/10/2028		1,640		1,695,327
Commercial Mortgage Pass-Through Certificates 2013-SFS A1†	1.873%		4/12/2035		350		346,090
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO	1.31%	#	8/10/2047		3,631		278,853
Commercial Mortgage Pass-Through Certificates 2014-FL4 C†	2.13%	#	7/13/2031		1,500		1,491,355
Commercial Mortgage Pass-Through Certificates 2014-FL4 XCP IO†	0.224%	#	9/13/2015		3,144		3,842

126 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Commercial Mortgage Pass-Through Certificates 2014-KYO A†	1.082%	#	6/11/2027	$	1,115	$	1,114,173
Commercial Mortgage Pass-Through Certificates 2014-KYO B†	1.482%	#	6/11/2027		1,000		999,050
Commercial Mortgage Pass-Through Certificates 2014-KYO C†	1.832%	#	6/11/2027		600		599,438
Commercial Mortgage Pass-Through Certificates 2014-SAVA A†	1.336%	#	6/15/2034		652		651,159
Commercial Mortgage Pass-Through Certificates 2014-SAVA B†	1.936%	#	6/15/2034		621		620,324
Commercial Mortgage Pass-Through Certificates 2014-SAVA C†	2.586%	#	6/15/2034		621		621,603
Commercial Mortgage Pass-Through Certificates 2014-SAVA XCP IO†	3.386%	#	6/15/2034		11,400		407,459
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC†	3.807%		5/10/2048		2,000		1,994,505
Commercial Mortgage Trust 2006-GG7 AM	5.819%	#	7/10/2038		2,475		2,576,939
Credit Suisse Commercial Mortgage Trust 2006-C4 AM	5.509%		9/15/2039		2,000		2,098,485
Credit Suisse Commercial Mortgage Trust 2008-C1 AM†	5.97%	#	2/15/2041		1,035		1,136,730
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA A†	5.384%		5/15/2023		100		107,209
Credit Suisse Mortgage Capital Certificates 2010-RR2 2B†	5.949%	#	9/15/2039		225		241,245
Credit Suisse Mortgage Capital Certificates 2014-ICE X1CP IO†	1.686%		4/15/2027		3,250		48,735
Credit Suisse Mortgage Capital Certificates 2014-TIKI C†	1.99%	#	9/15/2038		653		650,884
Credit Suisse Mortgage Capital Certificates 2014-USA X1 IO†	0.552%	#	9/15/2037		40,000		1,878,052
Credit Suisse Mortgage Capital Certificates 2015-DEAL A†	1.506%	#	4/15/2029		225		227,165
Credit Suisse Mortgage Capital Certificates 2015-DEAL B†	2.036%	#	4/15/2029		338		341,254
Credit Suisse Mortgage Capital Certificates 2015-TOWN A†	1.432%	#	3/15/2017		2,000		2,005,217
CSAIL Commercial Mortgage Trust 2015-C2 XB IO	0.146%	#	6/15/2057		82,732		450,401
DBRR Trust 2013-EZ2 A†	0.853%		2/25/2045		22		22,267
DBUBS Mortgage Trust 2011-LC1A A1†	3.742%		11/10/2046		4,480		4,540,377
DBUBS Mortgage Trust 2011-LC2A A1†	3.527%		7/10/2044		521		548,635

See Notes to Financial Statements. 127

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
DBUBS Mortgage Trust 2011-LC2A D†	5.458%	#	7/10/2044	$	400	$	436,656
DBUBS Mortgage Trust 2011-LC3A A3	4.638%		8/10/2044		500		541,512
Del Coronado Trust 2013 HDC A†	0.986%	#	3/15/2026		400		400,548
Del Coronado Trust 2013 HDC B†	1.486%	#	3/15/2026		1,000		1,000,497
Del Coronado Trust 2013 HDC C†	1.786%	#	3/15/2026		500		500,348
Del Coronado Trust 2013 HDC E†	2.836%	#	3/15/2026		500		500,613
EQTY Mortgage Trust 2014-INNS C†	1.781%	#	5/8/2031		100		99,397
Extended Stay America Trust 2013-ESFL DFL†	3.321%	#	12/5/2031		130		130,180
Extended Stay America Trust 2013-ESH5 A15†	1.278%		12/5/2031		406		403,483
Extended Stay America Trust 2013-ESH5 B5†	2.278%		12/5/2031		1,700		1,699,011
Extended Stay America Trust 2013-ESH7 A17†	2.295%		12/5/2031		900		894,510
Extended Stay America Trust 2013-ESH7 A27†	2.958%		12/5/2031		529		538,278
Extended Stay America Trust 2013-ESH7 B7†	3.604%		12/5/2031		3,600		3,670,765
Extended Stay America Trust 2013-ESH7 C7†	3.902%		12/5/2031		1,762		1,800,965
Extended Stay America Trust 2013-ESH7 D7†	4.036%	#	12/5/2031		900		930,700
Fosse Master Issuer plc 2012-1A 2B1 (United Kingdom)†(b)	2.225%	#	10/18/2054		250		251,202
Granite Master Issuer plc 2005-1 A4 (United Kingdom)(b)	0.384%	#	12/20/2054		301		299,905
Granite Master Issuer plc 2005-2 A6 (United Kingdom)(b)	0.444%	#	12/20/2054		343		342,461
Granite Master Issuer plc 2006-3 A7 (United Kingdom)(b)	0.384%	#	12/20/2054		498		495,982
Granite Master Issuer plc 2007-1 3A1 (United Kingdom)(b)	0.384%	#	12/20/2054		299		298,027
GS Mortgage Securities Corp. II 2012-GCJ9 XA IO	2.348%	#	11/10/2045		1,932		215,981
GS Mortgage Securities Corp. II 2013-KING B†	3.241%		12/10/2027		1,395		1,451,881
GS Mortgage Securities Corp. II 2013-KING C†	3.435%	#	12/10/2027		1,950		2,007,784
GS Mortgage Securities Corp. Trust 2012-SHOP A†	2.933%		6/5/2031		367		380,252
GS Mortgage Securities Corp. Trust 2012-SHOP B†	3.311%		6/5/2031		613		638,681
GS Mortgage Securities Corp. Trust 2012-SHOP C†	3.633%		6/5/2031		1,795		1,872,172
GS Mortgage Securities Corp. Trust 2012-SHOP D†	4.182%		6/5/2031		1,400		1,470,925
GS Mortgage Securities Trust 2006-GG8 AM	5.591%		11/10/2039		505		531,320
GS Mortgage Securities Trust 2009-RR1 MLB†	5.147%		12/14/2049		500		525,477
GS Mortgage Securities Trust 2010-C1 D†	6.036%	#	8/10/2043		100		110,218
GS Mortgage Securities Trust 2010-C2 A1†	3.849%		12/10/2043		878		893,861
GS Mortgage Securities Trust 2013-GC12 XA IO	1.758%	#	6/10/2046		25,168		2,218,321
H/2 Asset Funding 2014-1 Ltd.	2.101%		3/19/2037		900		888,223
HILT Mortgage Trust 2014-ORL B†	1.386%	#	7/15/2029		100		99,363

128 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
HILT Mortgage Trust 2014-ORL C†	1.786%	#	7/15/2029	$	500	$	494,379
HILT Mortgage Trust 2014-ORL XCP IO†	1.104%	#	7/15/2029		1,000		7,058
Irvine Core Office Trust 2013-IRV A1†	2.068%		5/15/2048		1,935		1,940,407
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AM	5.466%		6/12/2047		1,000		1,060,016
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AMFX	5.40%		6/12/2047		265		280,723
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19 AM	5.697%	#	2/12/2049		775		825,249
JPMorgan Chase Commercial Mortgage Securities Trust 2009-IWST C†	7.693%	#	12/5/2027		1,000		1,210,970
JPMorgan Chase Commercial Mortgage Securities Trust 2010-CNTR C†	5.513%		8/5/2032		250		285,690
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO	1.288%	#	12/15/2047		13,625		911,052
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO	0.882%	#	7/15/2045		7,291		275,422
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO	1.564%	#	4/15/2046		1,971		163,371
JPMorgan Chase Commercial Mortgage Securities Trust 2014-BXH A†	1.086%	#	4/15/2027		115		115,066
JPMorgan Chase Commercial Mortgage Securities Trust 2014-BXH B†	1.436%	#	4/15/2027		250		250,001
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2	3.046%		4/15/2047		176		183,968
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO	1.279%	#	4/15/2047		3,549		190,959
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO	0.283%	#	4/15/2047		1,000		26,533
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO	1.089%	#	11/15/2047		3,213		211,474
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A†	3.429%		6/10/2027		4,203		4,375,668
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY B†	3.771%		6/10/2027		535		555,096
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY C†	3.805%	#	6/10/2027		373		377,969
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO†	0.376%	#	6/10/2027		2,906		46,070
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO†	0.034%	#	6/10/2027		1,292		4,213

See Notes to Financial Statements. 129

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 D†	3.286%	#	12/15/2030	$	500	$	498,016
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN A†	1.106%	#	6/15/2029		1,494		1,491,222
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN C†	1.886%	#	6/15/2029		200		199,345
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN XCP IO†	0.09%	#	12/15/2015		25,000		12,353
JPMorgan Chase Commercial Mortgage-Backed Securities Trust 2009-RR1 A4B†	5.641%	#	3/18/2051		1,395		1,508,812
JPMorgan Chase Commercial Mortgage-Backed Securities Trust 2010-RR1 JPB†	5.774%	#	6/18/2049		372		394,320
Ladder Capital Commercial Mortgage Securities LLC 2014-909 D†	3.898%	#	5/15/2031		2,000		2,066,750
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B†	2.857%	#	11/14/2027		410		418,008
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD MRC†	2.857%	#	11/14/2027		329		337,442
LB-UBS Commercial Mortgage Trust 2006-C4 AM	5.852%	#	6/15/2038		3,000		3,139,272
LB-UBS Commercial Mortgage Trust 2006-C7 AM	5.378%		11/15/2038		6,000		6,294,075
LB-UBS Commercial Mortgage Trust 2007-C1 AM	5.455%		2/15/2040		3,443		3,650,778
LSTAR Commercial Mortgage Trust 2014-2 A1†	1.519%		1/20/2041		178		177,855
LSTAR Commercial Mortgage Trust 2014-2 XA IO†	1.00%	#	1/20/2041		3,211		103,837
MASTR Asset Securitization Trust 2006-3 1A3	6.00%		10/25/2036		114		112,422
MASTR Asset Securitization Trust 2006-3 1A8	6.00%		10/25/2036		96		94,101
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 AM	5.204%		12/12/2049		788		830,583
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 A2	3.001%		10/15/2046		50		52,138
Morgan Stanley Capital I Trust 2007-HQ12 AM	5.678%	#	4/12/2049		2,256		2,397,481
Morgan Stanley Capital I Trust 2007-IQ15 AM	5.907%	#	6/11/2049		2,267		2,424,271
Morgan Stanley Capital I Trust 2012-C4 XA IO†	2.622%	#	3/15/2045		20,895		1,958,364
Morgan Stanley Capital I Trust 2012-STAR A1†	2.084%		8/5/2034		457		456,726
Morgan Stanley Capital I Trust 2014-CPT XA IO†	0.089%	#	7/13/2029		60,000		426,762
Morgan Stanley Re-REMIC Trust 2009-GG10 A4B†	5.795%	#	8/12/2045		5,000		5,348,107
Morgan Stanley Re-REMIC Trust 2010-R3 3B†	0.421%	#	6/26/2036		66		66,159
Morgan Stanley Re-REMIC Trust 2012-IO AXA†	1.00%		3/27/2051		807		805,502
MSCG Trust 2015-ALDR A1†	2.612%		6/7/2035		320		322,103
NorthStar Real Estate CDO Ltd. 2013-1A†	2.031%	#	8/25/2029		811		822,135
NorthStar Real Estate CDO Ltd. 2013-1B†	5.181%	#	8/25/2029		1,750		1,780,627

130 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
PFP III Ltd. 2014-1 AS†	1.836%	#	6/14/2031	$	500	$	499,431
PFP III Ltd. 2014-1 B†	2.536%	#	6/14/2031		500		499,680
PFP III Ltd. 2014-1 C†	3.086%	#	6/14/2031		1,000		1,000,168
Prima Capital Ltd.	2.214%		5/24/2021		2,292		2,286,065
RAIT Trust 2014-FL2 B†	2.33%	#	5/13/2031		500		495,650
RBSCF Trust 2010-RR3 MSCB†	5.907%	#	6/16/2049		3,010		3,247,962
RBSCF Trust 2010-RR3 WBTB†	5.951%	#	2/16/2051		930		990,000
RBSSP Resecuritization Trust 2013-1 3A1†	0.291%	#	1/26/2037		161		157,010
RBSSP Resecuritization Trust 2013-3 1A1	0.341%	#	11/26/2036		725		694,509
RBSSP Resecuritization Trust 2013-3 2A1†	0.341%	#	11/26/2036		617		572,962
RCMC LLC 2012-CRE1 A†	5.624%		11/15/2044		463		474,498
ReadyCap Commercial Mortgage Trust 2014-1A A	3.01%		6/25/2055		1,190		1,200,075
Resource Capital Corp. Ltd. 2014-CRE2 A†	1.236%	#	4/15/2032		450		448,226
RREF LLC 2013-LT3	2.50%		6/20/2028		87		87,137
Sequoia Mortgage Trust 2012-4 A2	3.00%		9/25/2042		183		181,642
Springleaf Mortgage Loan Trust 2012-3A A†	1.57%		12/25/2059		282		283,519
Springleaf Mortgage Loan Trust 2013-1A A†	1.27%		6/25/2058		754		755,217
Structured Asset Securities Corp. 2006-3H 1A3	5.75%		12/25/2035		133		134,121
UBS-Barclays Commercial Mortgage Trust 2013-C5 XA IO†	1.107%	#	3/10/2046		11,650		737,343
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO†	1.325%	#	4/10/2046		19,545		1,450,586
Vornado DP LLC Trust 2010-VNO A1†	2.97%		9/13/2028		291		302,581
Wachovia Bank Commercial Mortgage Trust 2005-C22 AM	5.317%	#	12/15/2044		500		506,806
Wachovia Bank Commercial Mortgage Trust 2006-C27 AM	5.795%		7/15/2045		410		429,177
Wachovia Bank Commercial Mortgage Trust 2006-C29 AM	5.339%		11/15/2048		1,233		1,301,005
Wachovia Bank Commercial Mortgage Trust 2006-WL7A H†	0.586%	#	9/15/2021		504		492,888
Wachovia Bank Commercial Mortgage Trust 2007-C30 AM	5.383%		12/15/2043		2,155		2,279,975
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM	5.591%		4/15/2047		5,300		5,649,670
Wells Fargo Resecuritization Trust 2012-IO A†	1.75%		8/20/2021		109		108,982
WF-RBS Commercial Mortgage Trust 2011-C2 A2†	3.791%		2/15/2044		1,000		1,007,986
WF-RBS Commercial Mortgage Trust 2011-C2 A3†	4.498%		2/15/2044		950		1,023,573
WF-RBS Commercial Mortgage Trust 2011-C5 A3	3.526%		11/15/2044		1,350		1,427,483
WF-RBS Commercial Mortgage Trust 2012-C7 A1	2.30%		6/15/2045		444		448,599

See Notes to Financial Statements. 131

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
WF-RBS Commercial Mortgage Trust 2012-C7 XA IO†	1.564%	#	6/15/2045	$	12,401	$	1,020,029
WF-RBS Commercial Mortgage Trust 2012-C8 A2	1.881%		8/15/2045		462		466,865
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO†	1.444%	#	5/15/2045		12,646		984,674
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO	1.228%	#	5/15/2047		7,002		508,048
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO	0.573%	#	5/15/2047		1,368		67,286
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO	0.608%	#	8/15/2047		15,000		798,952
Total Non-Agency Commercial Mortgage-Backed Securities (cost $202,012,409)							199,307,879
U.S. TREASURY OBLIGATION 2.95%
U.S. Treasury Note (cost $25,296,875)	2.125%		12/31/2015		25,027		25,314,410
Total Long-Term Investments (cost $818,928,896)							816,693,452
SHORT-TERM INVESTMENTS 4.88%
COMMERCIAL PAPER 1.01%
Health Care Products 0.14%
Thermo Fisher Scientific, Inc.	Zero Coupon		6/22/2015		1,200		1,199,335
Supermarkets 0.58%
Tesco Treasury Services plc	Zero Coupon		8/18/2015		5,000		4,972,168
Utilities: Miscellaneous 0.29%
Enable Midstream Partners LP	Zero Coupon		6/10/2015		1,000		999,637
Enable Midstream Partners LP	Zero Coupon		6/15/2015		1,000		999,514
Enable Midstream Partners LP	Zero Coupon		7/15/2015		500		499,114
Total							2,498,265
Total Commercial Paper (cost $8,688,392)							8,669,768
CORPORATE BONDS 2.27%
Automotive 0.02%
Ford Motor Credit Co. LLC	5.625%		9/15/2015		100		101,380
Hyundai Capital America†	1.625%		10/2/2015		50		50,121
Total							151,501
Banks: Money Center 0.01%
US Bancorp	3.442%		2/1/2016		125		126,987

132 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Banks: Regional 0.33%
Fifth Third Bancorp	3.625%	1/25/2016	$	200	$	203,572
Royal Bank of Scotland Group plc (United Kingdom)(b)	2.55%	9/18/2015		615		617,905
Santander Holdings USA, Inc.	3.00%	9/24/2015		2,000		2,009,518
Total						2,830,995
Brokers 0.02%
Raymond James Financial, Inc.	4.25%	4/15/2016		203		208,871
Computer Technology 0.01%
EQT Corp.	5.00%	10/1/2015		123		124,500
Diversified Materials & Processing 0.07%
Kilroy Realty LP	5.00%	11/3/2015		570		579,193
Electric: Power 0.23%
CenterPoint Energy, Inc.	6.85%	6/1/2015		600		600,000
LG&E and KU Energy LLC	2.125%	11/15/2015		550		552,779
Pepco Holdings, Inc.	2.70%	10/1/2015		831		834,433
Total						1,987,212
Electrical Equipment 0.02%
Xerox Corp.	6.40%	3/15/2016		175		182,645
Electronics: Semi-Conductors/Components 0.07%
Avnet, Inc.	6.00%	9/1/2015		550		556,479
Financial: Miscellaneous 0.09%
Bunge Ltd. Finance Corp.	4.10%	3/15/2016		750		765,854
Food 0.06%
ConAgra Foods, Inc.	1.35%	9/10/2015		500		500,357
Health Care Products 0.02%
Boston Scientific Corp.	6.25%	11/15/2015		50		51,291
Life Technologies Corp.	3.50%	1/15/2016		95		96,509
Total						147,800
Insurance 0.03%
Transatlantic Holdings, Inc.	5.75%	12/14/2015		222		227,148
Leasing 0.01%
Penske Truck Leasing Co. LP/PTL Finance Corp.†	2.50%	3/15/2016		100		100,984

See Notes to Financial Statements. 133

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Leisure 0.05%
Carnival Corp.	1.20%		2/5/2016	$	450	$	451,127
Machinery: Agricultural 0.06%
BAT International Finance plc (United Kingdom)†(b)	1.40%		6/5/2015		500		500,021
Manufacturing 0.12%
Pentair Finance SA (Luxembourg)(b)	1.35%		12/1/2015		1,000		1,001,328
Metals & Minerals: Miscellaneous 0.21%
Glencore Finance Canada Ltd. (Canada)†(b)	2.05%		10/23/2015		1,482		1,486,882
Teck Resources Ltd. (Canada)(b)	5.375%		10/1/2015		275		278,578
Total							1,765,460
Milling: Fruit & Grain Processing 0.03%
Ingredion, Inc.	3.20%		11/1/2015		250		252,105
Office Furniture & Business Equipment 0.21%
Pitney Bowes, Inc.	4.75%		1/15/2016		920		938,724
Xerox Corp.	7.20%		4/1/2016		850		893,557
Total							1,832,281
Oil 0.22%
Marathon Petroleum Corp.	3.50%		3/1/2016		411		418,857
Noble Holding International Ltd.	3.05%		3/1/2016		475		479,088
Noble Holding International Ltd.	3.45%		8/1/2015		1,017		1,019,985
Total							1,917,930
Oil: Crude Producers 0.13%
DCP Midstream LLC†	5.375%		10/15/2015		125		126,140
Devon Energy Corp.	0.721%	#	12/15/2015		235		234,827
Florida Gas Transmission Co. LLC†	4.00%		7/15/2015		575		577,161
Gulfstream Natural Gas System LLC†	5.56%		11/1/2015		200		203,264
Total							1,141,392
Oil: Integrated Domestic 0.06%
Marathon Oil Corp.	0.90%		11/1/2015		500		499,889
Paper & Forest Products 0.04%
International Paper Co.	5.25%		4/1/2016		50		51,771
Plum Creek Timberlands LP	5.875%		11/15/2015		286		292,299
Total							344,070

134 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Real Estate Investment Trusts 0.05%
BioMed Realty LP	3.85%	4/15/2016	$	350	$	357,422
Ventas Realty LP/Ventas Capital Corp.	3.125%	11/30/2015		100		101,094
Total						458,516
Retail 0.03%
Kroger Co. (The)	3.90%	10/1/2015		250		252,671
Telecommunications 0.01%
Telefonica Emisiones SAU (Spain)(b)	3.992%	2/16/2016		50		51,021
Textiles Products 0.04%
Mohawk Industries, Inc.	6.125%	1/15/2016		325		335,008
Tobacco 0.02%
Reynolds American, Inc.	1.05%	10/30/2015		200		200,177
Total Corporate Bonds (cost $19,501,924)						19,493,522
REPURCHASE AGREEMENT 1.60%
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $180,000 of U.S. Treasury Note at 0.375% due 10/31/2016 and $13,815,000 of U.S. Treasury Note at 0.75% due 10/31/2017; value: $13,999,707; proceeds: $13,719,983 (cost $13,719,983)				13,720		13,719,983
Total Short-Term Investments (cost $41,910,299)						41,883,273
Total Investments in Securities 100.05% (cost $860,839,195)						858,576,725
Liabilities in Excess of Cash & Other Assets(i) (0.05%)						(423,690	)
Net Assets 100.00%					$	858,153,035

See Notes to Financial Statements. 135

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

BRL	Brazilian real.
EUR	euro.
AGM	Assured Guaranty Municipal Corporation
IO	Interest Only.
PIK	Payment-in-kind.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
#	Variable rate security. The interest rate represents the rate in effect at May 31, 2015.
(a)	Securities purchased on a when-issued basis (See Note 2(i)).
(b)	Foreign security traded in U.S. dollars.
(c)	Defaulted security.
(d)	Investment in non-U.S. dollar denominated securities.
(e)	Floating Rate Loans in which the Fund invests generally pay interest at rates that are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate shown is the rate(s) in effect at May 31, 2015.
(f)	Interest rate to be determined.
(g)	Amount represents less than 1,000 shares.
(h)	Security has been fully/partially segregated to cover margin requirements for open futures contracts as of May 31, 2015 (See Note 2(h)).
(i)	Liabilities in Excess of Cash & Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows:

136 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date	U.S. $ Current Value	Unrealized Appreciation
euro	Sell	J.P. Morgan	8/13/2015	109,000	$   124,507	$   119,835		$	4,672
euro	Sell	Morgan Stanley	8/13/2015	1,050,000	1,171,100	1,154,374			16,726
euro	Sell	Morgan Stanley	8/13/2015	146,000	162,341	160,513			1,828
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts								$	23,226

Forward Foreign Currency Exchange Contracts	Transaction Type	Counterparty	Expiration Date	Foreign Currency	U.S. $ Cost on Origination Date	U.S. $ Current Value	Unrealized Depreciation
euro	Buy	Bank of America	8/13/2015	175,000	$ 198,129	$ 192,396	$ (5,733)

Open Futures Contracts at May 31, 2015:

Type	Expiration	Contracts	Position	Fair Value	Unrealized Appreciation
U.S. 2-Year Treasury Note	September 2015	876	Long	$191,720,813	$198,256
Type	Expiration	Contracts	Position	Fair Value	Unrealized Depreciation
U.S. 5-Year Treasury Note	September 2015	161	Short	$(19,275,977)	$ (96,221)

Open Consumer Price Index (“CPI”) Swaps at May 31, 2015:

Swap Counterparty	Payments to be Made By The Fund at Termination Date	Payments to be Received By The Fund at Termination Date	Termination Date	Notional Amount		Fair Value		Unrealized Appreciation
Bank of America	CPI Urban Consumer NSA	1.6635%	10/23/2017	$	20,000,000	$	20,327,529	$	327,529
Barclays Bank plc	CPI Urban Consumer NSA	2.145%	2/6/2019		30,000,000		31,046,083		1,046,083
Barclays Bank plc	CPI Urban Consumer NSA	2.0925%	4/1/2019		25,000,000		25,839,810		839,810
Barclays Bank plc	CPI Urban Consumer NSA	1.7625%	12/4/2019		20,000,000		20,301,810		301,810
Barclays Bank plc	CPI Urban Consumer NSA	1.6725%	9/26/2016		30,000,000		30,621,157		621,157
Barclays Bank plc	CPI Urban Consumer NSA	1.4225%	11/28/2016		30,000,000		30,368,104		368,104
Credit Suisse	CPI Urban Consumer NSA	1.700%	11/21/2015		20,000,000		20,337,502		337,502
Deutsche Bank AG	CPI Urban Consumer NSA	2.200%	5/27/2019		30,000,000		31,225,242		1,225,242
Deutsche Bank AG	CPI Urban Consumer NSA	1.790%	1/2/2016		20,000,000		20,338,231		338,231
Deutsche Bank AG	CPI Urban Consumer NSA	1.720%	12/5/2019		20,000,000		20,257,690		257,690
Deutsche Bank AG	CPI Urban Consumer NSA	1.690%	12/12/2015		30,000,000		30,487,457		487,457

See Notes to Financial Statements. 137

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

	Payments to be	Payments to be
	Made	Received
Swap	By The Fund at	By The Fund at	Termination	Notional		Fair		Unrealized
Counterparty	Termination Date	Termination Date	Date	Amount		Value		Appreciation
Deutsche Bank AG	CPI Urban Consumer NSA	1.506%	10/30/2016	$	40,000,000	$	40,586,472	$	586,472
Goldman Sachs	CPI Urban Consumer NSA	2.3125%	9/30/2024		30,000,000		31,535,729		1,535,729
Goldman Sachs	CPI Urban Consumer NSA	2.0625%	12/8/2024		15,000,000		15,323,465		323,465
Goldman Sachs	CPI Urban Consumer NSA	1.9575%	1/17/2017		40,000,000		40,937,181		937,181
Goldman Sachs	CPI Urban Consumer NSA	1.795%	1/9/2016		40,000,000		40,675,196		675,196
J.P. Morgan	CPI Urban Consumer NSA	1.908%	11/7/2019		20,000,000		20,461,425		461,425
Unrealized Appreciation on CPI Swaps								$	10,670,083
	Payments to be	Payments to be
	Made	Received
Swap	By The Fund at	By The Fund at	Termination	Notional		Fair		Unrealized
Counterparty	Termination Date	Termination Date	Date	Amount		Value		Depreciation
Bank of America	2.080%	CPI Urban Consumer NSA	4/22/2025	$	10,000,000	$	9,961,023	$	(38,977	)
Bank of America	2.420%	CPI Urban Consumer NSA	5/19/2017		15,000,000		14,112,582		(887,418	)
Bank of America	2.445%	CPI Urban Consumer NSA	4/24/2023		40,000,000		37,398,442		(2,601,558	)
Bank of America	2.460%	CPI Urban Consumer NSA	4/23/2023		30,000,000		28,007,182		(1,992,818	)
Bank of America	2.555%	CPI Urban Consumer NSA	7/15/2018		5,000,000		4,587,324		(412,676	)
Bank of America	2.590%	CPI Urban Consumer NSA	6/26/2023		40,000,000		36,842,371		(3,157,629	)
Bank of America	2.820%	CPI Urban Consumer NSA	5/4/2020		4,000,000		3,541,439		(458,561	)
Bank of America	2.825%	CPI Urban Consumer NSA	7/22/2023		5,000,000		4,281,757		(718,243	)
Barclays Bank plc	1.960%	CPI Urban Consumer NSA	2/5/2025		10,000,000		9,958,699		(41,301	)
Barclays Bank plc	2.344%	CPI Urban Consumer NSA	8/1/2019		40,000,000		38,031,940		(1,968,060	)
Barclays Bank plc	2.529%	CPI Urban Consumer NSA	7/8/2022		30,000,000		27,870,209		(2,129,791	)
Barclays Bank plc	2.620%	CPI Urban Consumer NSA	10/18/2019		15,000,000		13,776,822		(1,223,178	)
Barclays Bank plc	2.7425%	CPI Urban Consumer NSA	9/14/2024		15,000,000		13,239,565		(1,760,435	)
Barclays Bank plc	2.945%	CPI Urban Consumer NSA	3/5/2038		15,000,000		11,635,905		(3,364,095	)
Credit Suisse	2.560%	CPI Urban Consumer NSA	6/27/2020		5,000,000		4,526,671		(473,329	)
Credit Suisse	2.6713%	CPI Urban Consumer NSA	4/11/2022		30,000,000		27,093,364		(2,906,636	)
Credit Suisse	2.864%	CPI Urban Consumer NSA	3/22/2032		8,000,000		6,545,372		(1,454,628	)

138 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

	Payments to be			Payments to be
	Made			Received
Swap	By The Fund at			By The Fund at		Termination	Notional		Fair		Unrealized
Counterparty	Termination Date			Termination Date		Date	Amount		Value		Depreciation
Deutsche Bank AG		2.059	%		CPI Urban Consumer NSA	5/21/2025	$	20,000,000	$	19,949,742	$	(50,258	)
Deutsche Bank AG		2.145	%		CPI Urban Consumer NSA	2/8/2016		6,000,000		5,773,037		(226,963	)
Deutsche Bank AG		2.1775	%		CPI Urban Consumer NSA	4/22/2018		30,000,000		28,634,910		(1,365,090	)
Deutsche Bank AG		2.1925	%		CPI Urban Consumer NSA	8/16/2017		10,000,000		9,556,413		(443,587	)
Deutsche Bank AG		2.340	%		CPI Urban Consumer NSA	6/17/2016		5,000,000		4,741,398		(258,602	)
Deutsche Bank AG		2.3825	%		CPI Urban Consumer NSA	5/23/2020		40,000,000		37,387,044		(2,612,956	)
Deutsche Bank AG		2.385	%		CPI Urban Consumer NSA	1/24/2021		7,000,000		6,469,254		(530,746	)
Deutsche Bank AG		2.4375	%		CPI Urban Consumer NSA	6/7/2021		20,000,000		18,574,901		(1,425,099	)
Deutsche Bank AG		2.440	%		CPI Urban Consumer NSA	4/11/2020		8,000,000		7,382,708		(617,292	)
Deutsche Bank AG		2.465	%		CPI Urban Consumer NSA	11/30/2031		5,000,000		4,502,508		(497,492	)
Deutsche Bank AG		2.4925	%		CPI Urban Consumer NSA	5/16/2016		4,000,000		3,778,200		(221,800	)
Deutsche Bank AG		2.500	%		CPI Urban Consumer NSA	9/4/2021		10,000,000		9,186,969		(813,031	)
Deutsche Bank AG		2.505	%		CPI Urban Consumer NSA	12/7/2031		5,000,000		4,462,911		(537,089	)
Deutsche Bank AG		2.5175	%		CPI Urban Consumer NSA	4/17/2026		15,000,000		13,889,187		(1,110,813	)
Deutsche Bank AG		2.590	%		CPI Urban Consumer NSA	5/13/2016		12,000,000		11,276,601		(723,399	)
Deutsche Bank AG		2.6075	%		CPI Urban Consumer NSA	6/13/2020		5,000,000		4,508,810		(491,190	)
Deutsche Bank AG		2.615	%		CPI Urban Consumer NSA	1/4/2020		15,000,000		13,719,345		(1,280,655	)
Deutsche Bank AG		2.640	%		CPI Urban Consumer NSA	12/17/2020		15,000,000		13,587,072		(1,412,928	)
Deutsche Bank AG		2.695	%		CPI Urban Consumer NSA	10/29/2021		9,000,000		8,083,732		(916,268	)
Deutsche Bank AG		2.700	%		CPI Urban Consumer NSA	7/11/2019		6,000,000		5,385,694		(614,306	)
Deutsche Bank AG		2.710	%		CPI Urban Consumer NSA	10/11/2020		15,000,000		13,578,873		(1,421,127	)
Deutsche Bank AG		2.730	%		CPI Urban Consumer NSA	10/25/2021		15,000,000		13,428,847		(1,571,153	)
Deutsche Bank AG		2.730	%		CPI Urban Consumer NSA	2/4/2021		15,000,000		13,537,361		(1,462,639	)
Deutsche Bank AG		2.745	%		CPI Urban Consumer NSA	3/20/2022		30,000,000		26,912,847		(3,087,153	)
Deutsche Bank AG		2.7475	%		CPI Urban Consumer NSA	2/26/2022		30,000,000		26,883,565		(3,116,435	)
Deutsche Bank AG		2.750	%		CPI Urban Consumer NSA	3/30/2032		6,000,000		5,059,956		(940,044	)

See Notes to Financial Statements. 139

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

	Payments to be		Payments to be
	Made		Received
Swap	By The Fund at		By The Fund at		Termination	Notional		Fair		Unrealized
Counterparty	Termination Date		Termination Date		Date	Amount		Value		Depreciation
Deutsche Bank AG		2.7525%		CPI Urban Consumer NSA	8/2/2021	$	8,000,000	$	7,009,828	$	(990,172	)
Deutsche Bank AG		2.779%		CPI Urban Consumer NSA	3/12/2022		25,000,000		22,338,028		(2,661,972	)
Deutsche Bank AG		3.010%		CPI Urban Consumer NSA	2/15/2033		15,000,000		11,921,477		(3,078,523	)
Goldman Sachs		2.4475%		CPI Urban Consumer NSA	4/24/2023		30,000,000		28,041,857		(1,958,143	)
Goldman Sachs		2.497%		CPI Urban Consumer NSA	5/2/2021		30,000,000		27,603,822		(2,396,178	)
Goldman Sachs		2.5375%		CPI Urban Consumer NSA	4/17/2021		8,000,000		7,273,559		(726,441	)
Goldman Sachs		2.675%		CPI Urban Consumer NSA	12/13/2020		15,000,000		13,540,079		(1,459,921	)
Goldman Sachs		2.7725%		CPI Urban Consumer NSA	4/3/2023		20,000,000		17,785,436		(2,214,564	)
Goldman Sachs		2.945%		CPI Urban Consumer NSA	1/16/2038		15,000,000		11,576,380		(3,423,620	)
Goldman Sachs		2.980%		CPI Urban Consumer NSA	2/7/2033		10,000,000		8,009,518		(1,990,482	)
J.P. Morgan		2.074%		CPI Urban Consumer NSA	11/21/2023		35,000,000		34,052,822		(947,178	)
J.P. Morgan		2.4975%		CPI Urban Consumer NSA	4/26/2020		9,000,000		8,255,384		(744,616	)
J.P. Morgan		2.5275%		CPI Urban Consumer NSA	5/9/2021		10,000,000		9,091,217		(908,783	)
J.P. Morgan		2.549%		CPI Urban Consumer NSA	7/23/2023		30,000,000		27,736,710		(2,263,290	)
J.P. Morgan		2.6075%		CPI Urban Consumer NSA	6/3/2020		5,000,000		4,513,251		(486,749	)
J.P. Morgan		2.680%		CPI Urban Consumer NSA	2/28/2021		20,000,000		18,162,674		(1,837,326	)
J.P. Morgan		2.7175%		CPI Urban Consumer NSA	5/13/2020		12,000,000		10,734,414		(1,265,586	)
J.P. Morgan		2.730%		CPI Urban Consumer NSA	9/20/2021		15,000,000		13,461,747		(1,538,253	)
J.P. Morgan		2.7563%		CPI Urban Consumer NSA	3/25/2022		30,000,000		26,883,921		(3,116,079	)
J.P. Morgan		2.810%		CPI Urban Consumer NSA	3/28/2032		7,000,000		5,811,156		(1,188,844	)
J.P. Morgan		2.815%		CPI Urban Consumer NSA	4/5/2032		5,000,000		4,144,637		(855,363	)
J.P. Morgan		2.815%		CPI Urban Consumer NSA	5/4/2020		4,000,000		3,543,516		(456,484	)
J.P. Morgan		2.955%		CPI Urban Consumer NSA	7/5/2026		5,000,000		4,114,420		(885,580	)
Morgan Stanley		2.265%		CPI Urban Consumer NSA	6/22/2016		5,000,000		4,759,036		(240,964	)
Morgan Stanley		2.5475%		CPI Urban Consumer NSA	4/20/2021		8,000,000		7,264,789		(735,211	)
Morgan Stanley		2.6725%		CPI Urban Consumer NSA	1/28/2021		15,000,000		13,602,355		(1,397,645	)

140 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

	Payments to be		Payments to be
	Made		Received
Swap	By The Fund at		By The Fund at		Termination	Notional		Fair		Unrealized
Counterparty	Termination Date		Termination Date		Date	Amount		Value		Depreciation
Morgan Stanley		2.735%		CPI Urban Consumer NSA	5/13/2019	$	12,000,000	$	10,812,358	$	(1,187,642	)
Morgan Stanley		2.7875%		CPI Urban Consumer NSA	6/8/2026		5,000,000		4,268,612		(731,388	)
Wells Fargo		1.690%		CPI Urban Consumer NSA	6/1/2015		8,000,000		7,822,110		(177,890	)
Wells Fargo		2.3925%		CPI Urban Consumer NSA	6/26/2019		30,000,000		28,479,440		(1,520,560	)
Wells Fargo		2.410%		CPI Urban Consumer NSA	6/20/2021		10,000,000		9,194,841		(805,159	)
Wells Fargo		2.560%		CPI Urban Consumer NSA	5/2/2021		10,000,000		9,064,608		(935,392	)
Wells Fargo		2.6275%		CPI Urban Consumer NSA	10/5/2019		15,000,000		13,796,189		(1,203,811	)
Wells Fargo		2.645%		CPI Urban Consumer NSA	12/27/2020		15,000,000		13,583,764		(1,416,236	)
Wells Fargo		2.7325%		CPI Urban Consumer NSA	2/19/2021		20,000,000		18,061,648		(1,938,352	)
Wells Fargo		2.745%		CPI Urban Consumer NSA	2/21/2022		25,000,000		22,401,710		(2,598,290	)
Unrealized Depreciation on CPI Swaps										$	(105,620,135	)

Credit Default Swaps on Indexes—Sell Protection at May 31, 2015⁽¹⁾:

															Credit
															Default
															Swap
				Original		Current									Agreements
Referenced	Fund		Termination	Notional		Notional		Fair		Payments		Unrealized			Payable at
Index		Receives	Date	Amount		Amount		Value(2)		Upfront(3)		Appreciation			Fair Value(4)
Markit CMBX. NA.AAA.2(6)		.07%	3/15/2049	$	300,000	$	268,623	$	299,484	$	15,473		$	14,957		$	516
Markit CMBX. NA.AAA.2(6)		.07%	3/15/2049		500,000		447,706		499,140		11,674			10,814			860
Markit CMBX. NA.AAA.3(6)		.08%	12/13/2049		1,000,000		942,188		996,800		33,900			30,700			3,200
Markit CMBX. NA.AAA.3(6)		.08%	12/13/2049		2,000,000		1,884,376		1,993,599		69,560			63,159			6,401
Markit CMBX. NA.AAA.4(6)		.35%	2/17/2051		500,000		476,998		499,141		37,578			36,719			859
Markit CMBX. NA.AAA.2(7)		.07%	3/15/2049		300,000		270,183		299,484		15,477			14,961			516
Markit CMBX. NA.AAA.2(7)		.07%	3/15/2049		500,000		450,304		499,141		25,795			24,936			859
Markit CMBX. NA.AAA.3(7)		.08%	12/13/2049		100,000		90,061		99,680		7,410			7,090			320
Markit CMBX. NA.AAA.2(8)		.07%	3/15/2049		1,500,000		1,343,117		1,497,422		40,256			37,678			2,578
Markit CMBX.NA.AAA.3(8)		.08%	12/13/2049		200,000		188,438		199,360		15,851			15,211			640
Markit CMBX.NA.AAA.3(8)		.08%	12/13/2049		500,000		471,094		498,400		39,641			38,041			1,600
										$	312,615		$	294,266		$	18,349

See Notes to Financial Statements. 141

Schedule of Investments (unaudited)(continued)

INFLATION FOCUSED FUND May 31, 2015

(1)	If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities.
(2)	Fair value serves as the indicator of the current status of payment/performance risk.
(3)	Upfront payments received are presented net of amortization (See Note 2(p)).
(4)	Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $294,266. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0.
(5)	Includes upfront payments received.
(6)	Swap Counterparty: Credit Suisse.
(7)	Swap Counterparty: Goldman Sachs.
(8)	Swap Counterparty: Morgan Stanley.

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)(3)	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	–	$	126,317,462	$	–	$	126,317,462
Convertible Bonds		–		–		2,020		2,020
Corporate Bonds		–		385,087,706		–		385,087,706
Floating Rate Loans(4)
Aerospace/Defense		–		3,914,099		–		3,914,099
Banks: Money Center		–		577,138		–		577,138
Drugs		–		–		103,449		103,449
Energy Equipment & Services		–		329,481		–		329,481
Food		–		1,348,358		–		1,348,358
Gaming		–		4,952,775		–		4,952,775
Health Care		–		6,143,516		2,296,875		8,440,391
Health Care Products		–		595,893		–		595,893
Leisure		–		97,310		–		97,310
Media		–		3,167,192		–		3,167,192
Metals & Minerals: Miscellaneous		–		102,021		–		102,021
Retail		–		501,095		–		501,095
Services		–		2,805,148		–		2,805,148
Technology		–		2,136,598		–		2,136,598
Telecommunications		–		2,500,323		–		2,500,323
Utilities		–		783,979		992,857		1,776,836
Utilities: Miscellaneous		–		356,000		–		356,000
Foreign Bonds		–		612,353		–		612,353
Foreign Government Obligations		–		1,886,728		–		1,886,728
Government Sponsored Enterprises Collateralized Mortgage Obligations		–		23,582,626		–		23,582,626
Government Sponsored Enterprises Pass-Throughs		–		39,394,991		–		39,394,991
Municipal Bonds		–		976,692		–		976,692
Non-Agency Commercial Mortgage-Backed Securities		–		199,307,879		–		199,307,879
U.S. Treasury Obligation		–		25,314,410		–		25,314,410
Commercial Paper		–		8,669,768		–		8,669,768
Repurchase Agreement		–		13,719,983		–		13,719,983
Total	$	–	$	855,181,524	$	3,395,201	$	858,576,725

142 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

INFLATION FOCUSED FUND May 31, 2015

Other Financial Instruments	Level 1			Level 2			Level 3		Total
CPI Swaps
Assets	$	–		$	10,670,083		$	–	$	10,670,083
Liabilities		–			(105,620,135	)		–		(105,620,135	)
Credit Default Swaps
Assets		–			–			–		–
Liabilities		–			(18,349	)		–		(18,349	)
Forward Foreign Currency Exchange Contracts
Assets		–			23,226			–		23,226
Liabilities		–			(5,733	)		–		(5,733	)
Futures Contracts
Assets		198,256			–			–		198,256
Liabilities		(96,221	)		–			–		(96,221	)
Total	$	102,035		$	(94,950,908	)	$	–	$	(94,848,873	)

(1)	Refer to Note 2(r) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.
(3)	There were no Level 1/Level 2 transfers during the period ended May 31, 2015.
(4)	Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

	Convertible			Floating			Total Return
Investment Type	Bonds			Rate Loans			Swap
Balance as of December 1, 2014	$	–		$	2,183,103		$	21,307
Accrued discounts/premiums		–			93			–
Realized gain (loss)		–			(590	)		(5,642	)
Change in unrealized appreciation/depreciation		(13,998	)		(7,043	)		–
Purchases		16,018			4,249,621			–
Sales		–			(2,226,329	)		(15,665	)
Net transfers in or out of Level 3		–			(805,488	)		–
Balance as of May 31, 2015	$	2,020		$	3,393,181		$	–

See Notes to Financial Statements. 143

Schedule of Investments (unaudited)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
LONG-TERM INVESTMENTS 96.79%
ASSET-BACKED SECURITIES 14.61%
Automobiles 5.73%
Ally Auto Receivables Trust 2014-1 A3	0.97%	10/15/2018	$	172,635	$	172,888,687
Ally Auto Receivables Trust 2014-2 A3	1.25%	4/15/2019		110,180		110,570,478
AmeriCredit Automobile Receivables Trust 2012-4 A3	0.67%	6/8/2017		8,239		8,238,911
AmeriCredit Automobile Receivables Trust 2012-5 A3	0.62%	6/8/2017		3,998		3,997,737
AmeriCredit Automobile Receivables Trust 2013-1 A3	0.61%	10/10/2017		21,586		21,584,821
AmeriCredit Automobile Receivables Trust 2013-1 B	1.07%	3/8/2018		16,424		16,467,877
AmeriCredit Automobile Receivables Trust 2013-3 B	1.58%	9/10/2018		19,125		19,271,650
AmeriCredit Automobile Receivables Trust 2013-5 A3	0.90%	9/10/2018		42,900		42,951,459
Avis Budget Rental Car Funding AESOP LLC 2011-3A A†	3.41%	11/20/2017		28,196		29,020,944
Avis Budget Rental Car Funding AESOP LLC 2011-5A A†	3.27%	2/20/2018		28,476		29,360,422
Avis Budget Rental Car Funding AESOP LLC 2012-2A A†	2.802%	5/20/2018		68,134		69,843,959
Avis Budget Rental Car Funding AESOP LLC 2014-1A A†	2.46%	7/20/2020		28,652		28,966,026
Avis Budget Rental Car Funding AESOP LLC 2014-2A A†	2.50%	2/20/2021		20,010		20,181,846
Avis Budget Rental Car Funding AESOP LLC 2015-2A A†	2.63%	12/20/2021		57,000		56,988,600
BMW Vehicle Lease Trust 2014-1 A3	0.73%	2/21/2017		47,375		47,405,273
California Republic Auto Receivables Trust 2013-1 A2†	1.41%	9/17/2018		21,044		21,147,047
California Republic Auto Receivables Trust 2013-2 A2	1.23%	3/15/2019		33,646		33,738,698
California Republic Auto Receivables Trust 2014-1 A3	0.85%	5/15/2018		10,950		10,956,784
California Republic Auto Receivables Trust 2014-2 A3	0.91%	8/15/2018		42,000		42,020,265
California Republic Auto Receivables Trust 2014-3 A3	1.09%	11/15/2018		37,630		37,687,254

144 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Automobiles (continued)
California Republic Auto Receivables Trust 2014-4 A3	1.27%		1/15/2019	$	48,645	$	48,656,699
California Republic Auto Receivables Trust 2015-1 A2	0.88%		12/15/2017		24,585		24,605,049
California Republic Auto Receivables Trust 2015-1 A3	1.33%		4/15/2019		22,997		23,072,833
California Republic Auto Receivables Trust 2015-2 A4(a)	1.75%		1/15/2021		18,024		18,035,265
Capital Auto Receivables Asset Trust 2015-2 A1A	0.99%		10/20/2017		111,929		111,950,714
Capital Auto Receivables Asset Trust 2015-2 A2	1.39%		9/20/2018		46,940		46,970,323
CarFinance Capital Auto Trust 2013-1A A†	1.65%		7/17/2017		200		200,311
CarMax Auto Owner Trust 2013-3 A3	0.97%		4/16/2018		3,875		3,884,609
CarMax Auto Owner Trust 2014-2 A3	0.98%		1/15/2019		81,625		81,719,563
CarMax Auto Owner Trust 2015-2 A2A	0.82%		6/15/2018		31,050		31,067,279
Chrysler Capital Auto Receivables Trust 2013-AA A3†	0.91%		4/16/2018		14,146		14,169,569
Chrysler Capital Auto Receivables Trust 2014-BA A3†	1.27%		5/15/2019		51,255		51,395,823
Drive Auto Receivables Trust 2015-BA B†	2.12%		6/17/2019		36,453		36,544,570
Fifth Third Auto Trust 2014-2 A3	0.89%		11/15/2018		68,250		68,297,195
Fifth Third Auto Trust 2014-3 A3	0.96%		3/15/2019		84,995		84,847,491
Ford Credit Auto Owner Trust 2014-B A3	0.90%		10/15/2018		51,445		51,538,784
GM Financial Automobile Leasing Trust 2014-2A A3†	1.22%		1/22/2018		57,260		57,315,943
Harley-Davidson Motorcycle Trust 2015-2 A4	1.66%		12/15/2022		28,920		28,917,108
Hyundai Auto Receivables Trust 2014-B A3	0.90%		12/17/2018		71,365		71,414,456
Nissan Auto Lease Trust 2014-A A3	0.80%		2/15/2017		42,340		42,377,640
Nissan Auto Receivables Owner Trust 2013-C A3	0.67%		8/15/2018		55,375		55,394,575
Porsche Innovative Lease Owner Trust 2014-1 A3†	1.03%		11/20/2017		105,040		105,312,211
Santander Drive Auto Receivables Trust 2013-3 B	1.19%		5/15/2018		39,595		39,674,190
Santander Drive Auto Receivables Trust 2013-5 A3	0.82%		2/15/2018		30,047		30,059,621
Volkswagen Auto Loan Enhanced Trust 2013-2 A3	0.70%		4/20/2018		71,215		71,183,274
World Omni Automobile Lease Securitization Trust 2014-A A3	1.16%		9/15/2017		33,835		33,976,701
Total							2,055,870,534
Credit Cards 2.35%
American Express Credit Account Master Trust 2012-3 B	0.686%	#	3/15/2018		17,000		17,000,306
American Express Credit Account Master Trust 2013-1 A	0.606%	#	2/16/2021		16,050		16,122,121
Bank of America Credit Card Trust 2014-A3 A	0.476%	#	1/15/2020		107,885		108,026,113
Barclays Dryrock Issuance Trust 2012-2 A	0.64%		8/15/2018		36,500		36,510,786

See Notes to Financial Statements. 145

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Credit Cards (continued)
Capital One Multi-Asset Execution Trust 2014-A2	1.26%		1/15/2020	$	87,200	$	87,676,679
Capital One Multi-Asset Execution Trust 2015-A3	0.595%	#	3/15/2023		122,949		123,112,153
Chase Issuance Trust 2013-A8	1.01%		10/15/2018		54,265		54,442,636
Chase Issuance Trust 2014-A3	0.386%	#	5/15/2018		10,500		10,503,108
Citibank Credit Card Issuance Trust 2013-A4	0.605%	#	7/24/2020		22,930		23,012,170
Citibank Credit Card Issuance Trust 2013-A6	1.32%		9/7/2018		65,360		65,843,239
Discover Card Execution Note Trust 2011-A4	0.536%	#	5/15/2019		38,415		38,488,968
Discover Card Execution Note Trust 2012-B3	0.636%	#	5/15/2018		87,665		87,642,514
Synchrony Credit Card Master Note Trust 2011-2 A	0.666%	#	5/15/2019		106,150		106,350,783
Synchrony Credit Card Master Note Trust 2012-6 A	1.36%		8/17/2020		15,560		15,589,626
World Financial Network Credit Card Master Trust 2013-B A	0.91%		3/16/2020		45,475		45,545,714
World Financial Network Credit Card Master Trust 2014-A	0.566%	#	12/15/2019		7,550		7,556,304
Total							843,423,220
Home Equity 0.19%
Asset Backed Securities Corp. Home Equity Loan
Trust Series AEG 2006-HE1 A3	0.381%	#	1/25/2036		19,262		18,506,312
Asset Backed Securities Corp. Home Equity Loan
Trust Series NC 2006-HE4 A5	0.341%	#	5/25/2036		21,271		20,079,453
Home Equity Asset Trust 2006-7 2A2	0.291%	#	1/25/2037		9,130		9,092,137
Home Equity Asset Trust 2006-8 2A2	0.291%	#	3/25/2037		10,909		10,791,928
Option One Mortgage Loan Trust 2005-1 A4	0.981%	#	2/25/2035		11,369		11,179,935
Total							69,649,765
Other 6.34%
ALM XIV Ltd. 2014-14A A1†	1.686%	#	7/28/2026		9,500		9,483,344
AMAC CDO Funding I 2006-1A A1†	0.46%	#	11/23/2050		4,737		4,713,742
AMAC CDO Funding I 2006-1A A2†	0.485%	#	11/23/2050		17,908		17,460,568
AMAC CDO Funding I 2006-1A B†	0.565%	#	11/23/2050		12,500		11,968,762
Apidos CDO III Ltd. 2006-3A A2†	0.718%	#	6/12/2020		11,000		10,921,641
Apollo Credit Funding IV Ltd. 4A A1†	1.725%	#	4/15/2027		21,500		21,395,132
Ares IIIR/IVR CLO Ltd. 2007-3RA A2†	0.496%	#	4/16/2021		27,666		27,381,982
Ares XI CLO Ltd. 2007-11A A1B†	0.536%	#	10/11/2021		43,354		42,846,205
Avenue CLO VI Ltd. 2007-6A A2†	0.624%	#	7/17/2019		11,750		11,665,691
Avery Point IV CLO Ltd. 2014-1A A†	1.797%	#	4/25/2026		5,000		5,009,956
BlueMountain CLO Ltd. 2014-3A A1†	1.727%	#	10/15/2026		51,750		51,612,221

146 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
Carlyle Global Market Strategies 2015-2A A1†	1.744%	#	4/27/2027	$	44,050	$	43,913,626
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1†	1.752%	#	10/15/2026		48,750		48,814,560
Cedar Funding IV CLO Ltd. 2014-4A A1†	1.744%	#	10/23/2026		55,940		55,940,420
Cent CDO Ltd. 2007-14A A2B†	0.583%	#	4/15/2021		15,000		14,452,140
Cent CDO XI Ltd. 2006-11A A1†	0.537%	#	4/25/2019		12,158		11,999,604
Cent CLO 2013-17A A1†	1.555%	#	1/30/2025		38,500		38,227,097
Cent CLO Ltd. 2013-19A A1A†	1.607%	#	10/29/2025		16,500		16,425,750
Cerberus Onshore II CLO LLC 2013-1A A1†	2.275%	#	10/15/2023		40,000		40,026,164
CIFC Funding II Ltd. 2014-2A A1L†	1.762%	#	5/24/2026		72,650		72,679,627
CIT Mortgage Loan Trust 2007-1 2A2†	1.435%	#	10/25/2037		1,062		1,064,241
CNH Equipment Trust 2015-B A4	1.89%		4/15/2022		36,108		36,100,778
Cornerstone CLO Ltd. 2007-1A A1S†	0.473%	#	7/15/2021		19,841		19,693,326
Crown Point CLO Ltd. 2012-1A A1LB†	1.775%	#	11/21/2022		4,732		4,740,345
Dryden XXIII Senior Loan Fund 2012-23RA A1R†	1.525%	#	7/17/2023		63,300		62,949,394
Dryden XXIV Senior Loan Fund 2012-24RA BR†	2.179%	#	11/15/2023		9,350		9,356,767
FBR Securitization Trust 2005-4 AV24	0.881%	#	10/25/2035		19,128		17,013,876
Fore CLO Ltd. 2007-1A A2†	0.725%	#	7/20/2019		9,775		9,716,021
Fortress Credit BSL II Ltd. 2013-2A A1F†	1.775%	#	10/19/2025		26,695		26,610,743
Fortress Credit BSL Ltd. 2013-1A A†	1.455%	#	1/19/2025		46,720		45,975,260
Fraser Sullivan CLO II Ltd. 2006-2A A2†	0.57%	#	12/20/2020		6,000		5,981,750
Galaxy XVIII CLO Ltd. 2014-18A A†	1.733%	#	10/15/2026		47,125		46,977,560
Gleneagles CLO Ltd. 2005-1A B†	0.828%	#	11/1/2017		29,100		28,893,201
GMF Floorplan Owner Revolving Trust 2015-1 A1†	1.65%		5/15/2020		53,067		53,163,025
Gramercy Real Estate CDO Ltd. 2007-1A A1†	0.554%	#	8/15/2056		28,505		26,936,998
Grayson CLO Ltd. 2006-1A A1A†	0.523%	#	11/1/2021		20,671		20,411,469
Harch CLO III Ltd. 2007-1A B†	0.679%	#	4/17/2020		8,250		8,179,622
HLSS Servicer Advance Receivables Backed Notes 2013-T3 B3†	2.14%		5/15/2046		19,055		18,962,478
HLSS Servicer Advance Receivables Backed Notes 2013-T7 AT7†	1.981%		11/15/2046		49,555		49,313,989
HLSS Servicer Advance Receivables Trust 2012-T2 A2†	1.99%		10/15/2045		78,141		78,143,774
HLSS Servicer Advance Receivables Trust 2013-T1 A2†	1.495%		1/16/2046		51,180		51,137,239
HLSS Servicer Advance Receivables Trust 2014-T2 AT2†	2.217%		1/15/2047		30,000		30,063,645
ING Investment Management CLO II Ltd. 2006-2A A1R†	0.538%	#	8/1/2020		7,138		7,121,348
Jackson Mill CLO Ltd. 2015-1A A†	1.814%	#	4/15/2027		34,600		34,700,340

See Notes to Financial Statements. 147

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
Jasper CLO Ltd. 2005-1A A†	0.548%	#	8/1/2017	$	2,132	$	2,128,591
JFIN CLO Ltd. 2007-1A A2†	0.515%	#	7/20/2021		17,627		17,514,107
JFIN Revolver CLO Ltd. 2013-1A A†	1.525%	#	1/20/2021		24,381		24,403,980
JFIN Revolver CLO Ltd. 2014-2A A2†	1.576%	#	2/20/2022		34,900		34,747,312
JFIN Revolver CLO Ltd. 2015-3A A1†	1.775%	#	4/20/2023		46,820		46,788,598
JFIN Revolver CLO Ltd. 2015-4A A†	1.424%	#	4/22/2020		14,950		14,878,389
KKR Financial CLO Ltd. 2007-1A A†	0.624%	#	5/15/2021		28,121		27,995,264
KKR Financial CLO Ltd. 2007-1A B†	1.024%	#	5/15/2021		8,000		7,839,635
Landmark VII CDO Ltd. 2006-7A A3L†	1.025%	#	7/15/2018		9,500		9,440,783
Marathon CLO IV Ltd. 2012-4A A1†	1.666%	#	5/20/2023		18,280		18,270,487
Meritage Mortgage Loan Trust 2004-2 M3	1.156%	#	1/25/2035		8,833		8,389,812
Morgan Stanley Capital I, Inc. 2006-HE1 A3	0.361%	#	1/25/2036		1,411		1,409,828
Mountain View CLO Ltd. 2015-9A A1A†(a)	1.739%	#	7/15/2027		21,000		20,951,700
MT Wilson CLO II Ltd. 2007-2A A2†	0.592%	#	7/11/2020		7,287		7,239,075
Nationstar Mortgage Advance Receivables Trust 2013-T3A A3†	2.438%		6/20/2048		39,750		39,585,554
Nomura CRE CDO Ltd. 2007-2A A2†	0.561%	#	5/21/2042		12,122		11,758,018
NorthStar Real Estate CDO VIII Ltd. 2006-8A A1†	0.47%	#	2/1/2041		14,342		14,083,621
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2†	0.54%	#	2/1/2041		11,000		10,329,000
Northwoods Capital XI Ltd. 2014-11A A†	1.875%	#	4/15/2025		23,200		23,233,911
NZCG Funding Ltd. 2015-2A A1†	1.812%	#	4/27/2027		20,080		20,034,888
Oaktree CLO Ltd. 2014-2A A1A†	1.805%	#	10/20/2026		44,975		44,940,432
Octagon Investment Partners XIX Ltd. 2014-1A A†	1.773%	#	4/15/2026		50,408		50,509,512
Octagon Loan Funding Ltd. 2014-1A A1†	1.726%	#	11/18/2026		15,325		15,310,446
OHA Loan Funding Ltd. 2015-1A A†	1.769%	#	2/15/2027		27,650		27,555,025
OHA Park Avenue CLO I Ltd. 2007-1A A1B†	0.501%	#	3/14/2022		15,100		14,956,812
OZLM VIII Ltd. 2014-8A A1A†	1.714%	#	10/17/2026		68,415		68,319,671
Race Point III CLO Ltd. 2006-3 A (Ireland)†(b)	0.535%	#	4/15/2020		5,409		5,396,663
SLM Private Education Loan Trust 2010-A 2A†	3.436%	#	5/16/2044		45,792		48,439,291
SLM Private Education Loan Trust 2012-A A1†	1.586%	#	8/15/2025		10,441		10,534,215
SLM Private Education Loan Trust 2012-E A1†	0.936%	#	10/16/2023		15,685		15,724,483
SLM Private Education Loan Trust 2013-B A1†	0.836%	#	7/15/2022		34,841		34,903,014
SLM Student Loan Trust 2011-1 A1	0.705%	#	3/25/2026		18,720		18,802,764
Stone Tower CLO V Ltd. 2006-5A A2B†	0.606%	#	7/16/2020		40,500		39,954,028
Stone Tower CLO VI Ltd. 2007-6A A2A†	0.494%	#	4/17/2021		14,042		13,952,142
Stone Tower CLO VI Ltd. 2007-6A A2B†	0.594%	#	4/17/2021		4,411		4,320,829
Treman Park CLO LLC 2015-1A A†	1.761%	#	4/20/2027		30,000		29,966,061
Venture XI CLO Ltd. 2012-11AR BR†	2.225%	#	11/14/2022		17,500		17,500,000

148 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Other (continued)
Venture XVII CLO Ltd. 2014-17A A†	1.755%	#	7/15/2026	$	31,000	$	30,921,176
Venture XVIII CLO Ltd. 2014-18A A†	1.703%	#	10/15/2026		45,250		45,066,828
Voya CLO Ltd. 2012-3AR AR†	1.615%	#	10/15/2022		32,328		32,328,000
Voya CLO Ltd. 2015-1A A1†	1.755%	#	4/18/2027		20,525		20,348,713
Westchester CLO Ltd. 2007-1A A1A†	0.503%	#	8/1/2022		27,299		27,102,023
Westgate Resorts LLC 2014-1A A†	2.15%		12/20/2026		11,544		11,487,126
Westgate Resorts LLC 2014-1A B†	3.25%		12/20/2026		9,296		9,309,016
Westgate Resorts LLC 2015-1A A†	2.75%		5/20/2027		9,619		9,634,616
Westgate Resorts LLC 2015-1A B†	3.50%		5/20/2027		16,948		16,958,573
Total							2,275,409,433
Total Asset-Backed Securities (cost $5,228,042,103)							5,244,352,952
CONVERTIBLE BONDS 0.00%
Oil
Oleo e Gas Participacoes SA (Brazil)(c)(d)	10.00%		6/1/2016	BRL	395		156,489
Oleo e Gas Participacoes SA (Brazil)(c)(d)	10.00%		6/1/2016	BRL	313		123,980
Total Convertible Bonds (cost $2,223,888)							280,469
CORPORATE BONDS 42.74%
Aerospace/Defense 0.09%
BAE Systems plc (United Kingdom)†(b)	3.50%		10/11/2016	$	1,250		1,288,476
Exelis, Inc.	4.25%		10/1/2016		27,693		28,655,360
Litton Industries, Inc.	6.75%		4/15/2018		2,750		3,117,243
Total							33,061,079
Air Transportation 0.03%
American Airlines 2013-2 Class B Pass-Through Trust†	5.60%		1/15/2022		5,916		6,167,073
US Airways 2012-1 Class C Pass-Through Trust	9.125%		10/1/2015		5,916		6,034,659
Total							12,201,732
Auto Parts: Original Equipment 0.77%
Accuride Corp.	9.50%		8/1/2018		23,506		24,328,710
BorgWarner, Inc.	5.75%		11/1/2016		1,280		1,355,747
Continental Rubber of America Corp.†	4.50%		9/15/2019		133,690		137,820,754
Hertz Corp. (The)	7.50%		10/15/2018		51,623		53,558,862
International Automotive Components Group SA (Luxembourg)†(b)	9.125%		6/1/2018		11,875		12,290,625
Schaeffler Holding Finance BV PIK (Netherlands)†(b)	6.875%		8/15/2018		46,144		48,105,120
Total							277,459,818

See Notes to Financial Statements. 149

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Automotive 0.77%
Ford Motor Credit Co. LLC	1.724%		12/6/2017	$	30,000	$	29,956,680
Ford Motor Credit Co. LLC	4.207%		4/15/2016		14,514		14,902,119
Ford Motor Credit Co. LLC	4.25%		2/3/2017		24,600		25,786,802
Ford Motor Credit Co. LLC	6.625%		8/15/2017		21,250		23,473,961
General Motors Co.	3.50%		10/2/2018		41,975		43,246,842
General Motors Financial Co., Inc.	2.40%		4/10/2018		57,933		57,968,629
General Motors Financial Co., Inc.	4.75%		8/15/2017		63,640		67,311,583
Kia Motors Corp. (South Korea)†(b)	3.625%		6/14/2016		13,600		13,919,124
Total							276,565,740
Banks: Money Center 0.96%
1Malaysia Sukuk Global Berhad (Malaysia)†(b)	3.928%		6/4/2015		13,575		13,576,398
Akbank TAS (Turkey)†(b)	3.875%		10/24/2017		7,850		7,967,750
Banco de Bogota SA (Colombia)†(b)	5.00%		1/15/2017		5,100		5,316,750
Banco Nacional de Costa Rica (Costa Rica)†(b)	4.875%		11/1/2018		6,000		6,135,000
Bank of America Corp.	5.25%		12/1/2015		16,304		16,683,410
Bank of America Corp.	5.42%		3/15/2017		95,402		101,636,807
Bank of America Corp.	5.49%		3/15/2019		48,802		54,000,633
Bank of America Corp.	5.75%		8/15/2016		52,602		55,253,983
BBVA Banco Continental SA (Peru)†(b)	2.25%		7/29/2016		12,655		12,749,913
Export-Import Bank of Korea (South Korea)(b)	1.027%	#	1/14/2017		11,250		11,302,650
Export-Import Bank of Korea (South Korea)(b)	1.121%	#	9/17/2016		6,100		6,128,487
Export-Import Bank of Korea (South Korea)(b)	3.75%		10/20/2016		6,675		6,920,800
Industrial & Commercial Bank of China Ltd.	2.351%		11/13/2017		24,500		24,727,311
Santander Bank NA	8.75%		5/30/2018		750		879,165
Wilmington Trust Corp.	8.50%		4/2/2018		10,931		12,751,667
Zions Bancorporation	5.50%		11/16/2015		7,651		7,766,354
Total							343,797,078
Banks: Regional 5.04%
ABN AMRO Bank NV (Netherlands)(b)	6.25%		9/13/2022		19,600		21,315,000
Associated Banc-Corp.	5.125%		3/28/2016		75,576		77,870,563
Banco de Credito e Inversiones (Chile)†(b)	3.00%		9/13/2017		12,800		13,095,450
Banco del Estado de Chile (Chile)†(b)	2.00%		11/9/2017		34,000		34,279,990
Banco do Brasil SA	3.875%		1/23/2017		14,800		15,198,120
Banco Santander Chile (Chile)†(b)	2.139%	#	6/7/2018		24,000		24,276,000
Bangkok Bank PCL (Hong Kong)†(b)	3.30%		10/3/2018		11,000		11,365,189
Bank of America Corp.	5.70%		5/2/2017		36,522		39,186,974
Bank of America Corp.	6.05%		5/16/2016		74,074		77,306,886
Bank of America Corp.	10.20%		7/15/2015		12,006		12,136,553

150 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Banks: Regional (continued)
Bank of America NA	5.30%		3/15/2017	$	142,095	$	151,290,394
Bank of America NA	6.10%		6/15/2017		36,802		40,014,410
Bank of Nova Scotia (The) (Canada)†(b)	2.15%		8/3/2016		14,450		14,697,601
CIT Group, Inc.	4.25%		8/15/2017		21,101		21,628,525
CIT Group, Inc.	5.00%		5/15/2017		4,912		5,105,042
Citigroup, Inc.	5.50%		2/15/2017		91,981		98,126,619
Citigroup, Inc.	6.125%		11/21/2017		29,980		33,168,763
Discover Bank	2.00%		2/21/2018		28,739		28,797,685
Discover Bank	8.70%		11/18/2019		23,473		28,748,533
Export-Import Bank of China (The) (China)†(b)	2.50%		7/31/2019		34,500		34,973,892
Fifth Third Bancorp	5.45%		1/15/2017		9,215		9,816,804
First Midwest Bancorp, Inc.	5.875%		11/22/2016		14,875		15,629,951
Goldman Sachs Group, Inc. (The)	2.282%	#	8/24/2016		3,350		3,386,656
Goldman Sachs Group, Inc. (The)	5.625%		1/15/2017		83,852		89,308,585
HBOS plc (United Kingdom)†(b)	6.75%		5/21/2018		131,524		147,250,456
Itau Unibanco Holding SA†	2.85%		5/26/2018		24,500		24,622,500
Korea Development Bank (The) (South Korea)(b)	0.901%	#	1/22/2017		23,100		23,098,822
Korea Exchange Bank (South Korea)†(b)	2.50%		6/12/2019		9,500		9,576,076
Lloyds Bank plc (United Kingdom)†(b)	6.50%		9/14/2020		45,250		53,159,926
Macquarie Bank Ltd. (Australia)†(b)	1.60%		10/27/2017		28,800		28,819,814
Macquarie Bank Ltd. (Australia)†(b)	5.00%		2/22/2017		6,055		6,434,273
Morgan Stanley	3.00%		8/30/2015		2,250		2,261,736
Morgan Stanley	3.00%		8/31/2015		3,622		3,667,275
Morgan Stanley	3.80%		4/29/2016		3,535		3,631,470
Morgan Stanley	6.625%		4/1/2018		32,286		36,544,782
National City Corp.	6.875%		5/15/2019		22,043		25,789,516
National Savings Bank (Sri Lanka)†(b)	8.875%		9/18/2018		15,100		16,406,150
PNC Funding Corp.	5.625%		2/1/2017		6,960		7,446,608
Popular, Inc.	7.00%		7/1/2019		7,515		7,731,056
Regions Bank	7.50%		5/15/2018		18,225		21,024,433
Regions Financial Corp.	2.00%		5/15/2018		3,667		3,670,432
Regions Financial Corp.	5.75%		6/15/2015		5,930		5,940,057
Royal Bank of Scotland Group plc (United Kingdom)(b)	2.55%		9/18/2015		19,987		20,081,399
Royal Bank of Scotland NV (Netherlands)(b)	4.65%		6/4/2018		12,068		12,731,704
Royal Bank of Scotland plc (The) (United Kingdom)(b)	4.375%		3/16/2016		33,523		34,398,956
Royal Bank of Scotland plc (The) (United Kingdom)(b)	9.50%		3/16/2022		74,270		83,147,642

See Notes to Financial Statements. 151

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate		Maturity Date	Principal Amount (000)		Fair Value
Banks: Regional (continued)
Santander Holdings USA, Inc.	3.00%		9/24/2015	$	72,486	$	72,830,961
Santander Holdings USA, Inc.	4.625%		4/19/2016		38,243		39,459,089
Standard Chartered Bank (United Kingdom)†(b)	6.40%		9/26/2017		39,371		43,259,122
Swedbank Hypotek AB (Sweden)†(b)	2.95%		3/28/2016		16,900		17,220,880
Synovus Financial Corp.	7.875%		2/15/2019		24,158		27,389,132
Turkiye Halk Bankasi AS (Turkey)†(b)	4.75%		6/4/2019		9,500		9,590,250
Turkiye Halk Bankasi AS (Turkey)†(b)	4.875%		7/19/2017		29,500		30,551,852
Turkiye Vakiflar Bankasi TAO (Turkey)†(b)	3.75%		4/15/2018		6,700		6,658,125
Turkiye Vakiflar Bankasi TAO (Turkey)†(b)	5.75%		4/24/2017		29,700		31,073,625
UBS AG	1.375%		6/1/2017		48,248		48,244,140
Valley National Bank	5.00%		7/15/2015		3,569		3,583,515
Total							1,808,019,959
Biotechnology Research & Production 0.00%
Laboratory Corp. of America Holdings	3.125%		5/15/2016		1,625		1,655,043
Broadcasting 0.10%
21st Century Fox America, Inc.	7.60%		10/11/2015		1,118		1,144,826
Cox Communications, Inc.†	5.875%		12/1/2016		18,960		20,229,998
Cox Communications, Inc.†	9.375%		1/15/2019		11,775		14,573,659
Total							35,948,483
Brokers 0.62%
Jefferies Group LLC	3.875%		11/9/2015		25,895		26,134,710
Jefferies Group LLC	5.125%		4/13/2018		20,290		21,634,172
Jefferies Group LLC	5.50%		3/15/2016		14,745		15,137,586
Jefferies Group LLC	8.50%		7/15/2019		101,583		122,105,407
Raymond James Financial, Inc.	8.60%		8/15/2019		29,206		35,977,586
Total							220,989,461
Building Materials 0.17%
Cemex SAB de CV (Mexico)†(b)	5.025%	#	10/15/2018		12,000		12,672,000
Martin Marietta Materials, Inc.	1.373%	#	6/30/2017		21,880		21,819,217
Martin Marietta Materials, Inc.	6.60%		4/15/2018		17,287		19,448,584
Owens Corning	6.50%		12/1/2016		221		236,164
Owens Corning	9.00%		6/15/2019		6,772		8,155,479
Total							62,331,444
Business Services 0.47%
Chicago Parking Meters LLC†	5.489%		12/30/2020		4,900		5,329,005
Expedia, Inc.	7.456%		8/15/2018		46,996		54,085,863

152 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Investments	Interest Rate	Maturity Date	Principal Amount (000)		Fair Value
Business Services (continued)
HPHT Finance 15 Ltd.†	2.25%	3/17/2018	$	13,800	$	13,863,425
Jaguar Holding Co. I PIK†	9.375%	10/15/2017		60,998		62,522,950
Jaguar Holding Co. II/Jaguar Merger Sub, Inc.†	9.50%	12/1/2019		5,574		5,999,017
Korea Expressway Corp. (South Korea)†(b)	1.625%	4/28/2017		4,800		4,805,218
NES Rentals Holdings, Inc.†	7.875%	5/1/2018		19,595		20,133,862
Verisk Analytics, Inc.	4.875%	1/15/2019		1,571		1,692,203
Total						168,431,543
Cable Services 0.08%
Time Warner Cable, Inc.	8.25%	4/1/2019		8,989		10,658,195
Time Warner Cable, Inc.	8.75%	2/14/2019		15,501		18,510,488
Total						29,168,683
Chemicals 0.89%
Airgas, Inc.	2.95%	6/15/2016		2,325		2,372,018
Incitec Pivot Ltd. (Australia)†(b)	4.00%	12/7/2015		1,717		1,741,661
LyondellBasell Industries NV	5.00%	4/15/2019		60,028		65,875,568
Nufarm Australia Ltd. (Australia)†(b)	6.375%	10/15/2019		9,975		10,261,781
PetroLogistics LP/PetroLogistics Finance Corp.	6.25%	4/1/2020		94,370		101,044,413
Rockwood Specialties Group, Inc.	4.625%	10/15/2020		116,561		121,806,245
Yara International ASA (Norway)†(b)	7.875%	6/11/2019		13,245		15,564,875
Total						318,666,561
Coal 0.22%
Korea Resources Corp. (South Korea)†(b)	2.25%	4/29/2020		23,500		23,457,254
Penn Virginia Corp.	7.25%	4/15/2019		23,761		21,384,900
Penn Virginia Corp.	8.50%	5/1/2020		34,123		32,416,850
Total						77,259,004
Communications Equipment 0.05%
Harris Corp.	1.999%	4/27/2018		9,672		9,703,705
Harris Corp.	2.70%	4/27/2020		9,672		9,709,295
Total						19,413,000
Computer Hardware 0.02%
DynCorp International, Inc.	10.375%	7/1/2017		7,397		5,880,615
Computer Service 0.08%
IGATE Corp.	4.75%	4/15/2019		27,346		28,713,300
Computer Software 0.76%
Aspect Software, Inc.	10.625%	5/15/2017		31,047		28,097,535

See Notes to Financial Statements. 153

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Computer Software 0.76%
First Data Corp.†	7.375%		6/15/2019	$	12,265	$	12,786,263
First Data Corp.	11.75%		8/15/2021		26,155		29,980,169
First Data Corp.	12.625%		1/15/2021		54,905		64,444,744
Sophia LP/Sophia Finance, Inc.†	9.75%		1/15/2019		42,794		45,950,057
SRA International, Inc.	11.00%		10/1/2019		25,476		27,131,940
SunGard Data Systems, Inc.	6.625%		11/1/2019		22,989		24,080,977
SunGard Data Systems, Inc.	7.375%		11/15/2018		37,338		38,924,865
SunGard Data Systems, Inc.	7.625%		11/15/2020		1,365		1,448,606
Total							272,845,156
Consumer Products 0.21%
Avon Products, Inc.	3.125%		3/15/2016		34,015		34,185,075
Avon Products, Inc.	5.35%		3/15/2020		46,107		41,957,370
Total							76,142,445
Containers 0.30%
Coveris Holdings SA (Luxembourg)†(b)	7.875%		11/1/2019		2,915		2,995,162
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA	7.125%		4/15/2019		7,415		7,683,794
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA	8.50%		5/15/2018		87,880		89,747,450
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA	9.00%		4/15/2019		6,342		6,627,390
Total							107,053,796
Copper 0.01%
Southern Copper Corp. (Mexico)(b)	6.375%		7/27/2015		4,400		4,429,040
Data Product, Equipment & Communications 0.05%
Fidelity National Information Services, Inc.	5.00%		3/15/2022		17,229		18,195,771
Diversified 0.22%
Alphabet Holding Co., Inc. PIK	7.75%		11/1/2017		76,838		77,894,523
Drugs 1.91%
AbbVie, Inc.	1.80%		5/14/2018		28,946		29,002,184
AbbVie, Inc.	2.50%		5/14/2020		33,385		33,416,883
Actavis Funding SCS (Luxembourg)(b)	1.348%	#	3/12/2018		2,245		2,270,474
Actavis Funding SCS (Luxembourg)(b)	2.35%		3/12/2018		77,184		77,998,214
Capsugel SA PIK (Luxembourg)†(b)	7.00%		5/15/2019		74,031		75,835,506
Express Scripts Holding Co.	2.65%		2/15/2017		9,450		9,671,262
Hospira, Inc.	6.05%		3/30/2017		32,670		35,367,399

154 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Drugs (continued)
McKesson Corp.	7.50%	2/15/2019	$	1,322	$	1,574,059
Mylan, Inc.	1.35%	11/29/2016		16,412		16,406,420
Mylan, Inc.	1.80%	6/24/2016		53,985		54,265,128
Mylan, Inc.†	7.875%	7/15/2020		164,678		172,509,427
Par Pharmaceutical Cos., Inc.	7.375%	10/15/2020		29,751		31,907,947
Perrigo Co. plc (Ireland)(b)	1.30%	11/8/2016		31,393		31,382,672
Perrigo Co. plc (Ireland)(b)	2.30%	11/8/2018		47,197		47,496,559
Valeant Pharmaceuticals International, Inc.†	5.375%	3/15/2020		27,990		29,249,550
Valeant Pharmaceuticals International, Inc.†	6.75%	8/15/2018		2,000		2,117,500
Valeant Pharmaceuticals International, Inc.†	7.00%	10/1/2020		34,353		36,027,709
Total						686,498,893
Electric: Power 0.91%
Cleveland Electric Illuminating Co. (The)	5.70%	4/1/2017		11,296		12,103,754
Cleveland Electric Illuminating Co. (The)	8.875%	11/15/2018		8,916		10,905,347
Duquesne Light Holdings, Inc.	5.50%	8/15/2015		42,831		43,276,914
Entergy Corp.	3.625%	9/15/2015		26,205		26,387,832
Entergy Corp.	4.70%	1/15/2017		54,297		56,669,345
Exelon Generation Co. LLC	2.95%	1/15/2020		33,119		33,619,726
Metropolitan Edison Co.	7.70%	1/15/2019		10,431		12,354,831
Pennsylvania Electric Co.	6.05%	9/1/2017		2,074		2,273,083
Pepco Holdings, Inc.	2.70%	10/1/2015		24,672		24,773,920
PPL WEM Holdings Ltd. (United Kingdom)†(b)	3.90%	5/1/2016		84,113		86,192,357
Red Oak Power LLC	8.54%	11/30/2019		16,982		18,170,286
Total						326,727,395
Electronics 0.16%
Jabil Circuit, Inc.	7.75%	7/15/2016		27,319		29,299,628
Jabil Circuit, Inc.	8.25%	3/15/2018		23,485		27,154,531
Total						56,454,159
Electronics: Semi-Conductors/Components 0.29%
Freescale Semiconductor, Inc.	10.75%	8/1/2020		9,700		10,391,125
KLA-Tencor Corp.	2.375%	11/1/2017		33,975		34,431,182
KLA-Tencor Corp.	3.375%	11/1/2019		58,284		60,159,638
Total						104,981,945
Energy Equipment & Services 0.88%
Cameron International Corp.	1.15%	12/15/2016		1,000		995,419
Cameron International Corp.	1.40%	6/15/2017		7,780		7,733,055

See Notes to Financial Statements. 155

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Energy Equipment & Services (continued)
Copano Energy LLC/Copano Energy Finance Corp.	7.125%	4/1/2021	$	112,945	$	119,892,925
Energy Transfer Partners LP	9.00%	4/15/2019		92,653		113,850,802
Energy Transfer Partners LP	9.70%	3/15/2019		51,882		64,339,854
Greenko Dutch BV (Netherlands)†(b)	8.00%	8/1/2019		9,600		9,288,000
Total						316,100,055
Engineering & Contracting Services 0.06%
New Enterprise Stone & Lime Co., Inc.	11.00%	9/1/2018		24,293		21,924,433
Entertainment 0.86%
CCO Holdings LLC/CCO Holdings Capital Corp.	6.50%	4/30/2021		70,617		74,412,664
CCO Holdings LLC/CCO Holdings Capital Corp.	7.00%	1/15/2019		53,420		55,590,187
Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp.†	8.875%	4/15/2017		61,747		62,325,878
Peninsula Gaming LLC/Peninsula Gaming Corp.†	8.375%	2/15/2018		15,212		16,067,675
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.†	9.50%	6/15/2019		29,486		31,107,730
Seminole Tribe of Florida, Inc.†	6.535%	10/1/2020		21,932		23,796,220
Seminole Tribe of Florida, Inc.†	7.804%	10/1/2020		11,013		11,949,105
Shingle Springs Tribal Gaming Authority†	9.75%	9/1/2021		22,950		25,818,750
WMG Holdings Corp.	13.75%	10/1/2019		6,022		6,609,145
WMG Holdings Corp.†	13.75%	10/1/2019		1,400		1,536,500
Total						309,213,854
Financial Services 3.29%
Air Lease Corp.	4.50%	1/15/2016		28,727		29,337,449
Air Lease Corp.	5.625%	4/1/2017		253,109		270,826,630
Alfa Bank OJSC Via Alfa Bond Issuance plc (Ireland)†(b)	7.875%	9/25/2017		10,000		10,515,500
Alliance Data Systems Corp.†	6.375%	4/1/2020		21,227		22,208,749
Banco Bradesco SA†	4.50%	1/12/2017		9,100		9,495,850
Banco de Credito del Peru (Peru)†(b)	2.75%	1/9/2018		10,593		10,725,412
Bank of America Corp.	7.75%	8/15/2015		11,535		11,688,485
Bank of America Corp.	7.80%	9/15/2016		62,259		67,242,086
Countrywide Financial Corp.	6.25%	5/15/2016		19,602		20,486,893
Denali Borrower LLC/Denali Finance Corp.†	5.625%	10/15/2020		173,876		184,960,595
Discover Financial Services	6.45%	6/12/2017		12,204		13,363,771
Dun & Bradstreet Corp. (The)	2.875%	11/15/2015		17,830		18,008,746
Dun & Bradstreet Corp. (The)	3.25%	12/1/2017		34,357		35,225,304
Fidelity National Financial, Inc.	6.60%	5/15/2017		31,706		34,498,379

156 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Financial Services (continued)
Graton Economic Development Authority†	9.625%		9/1/2019	$	29,015	$	31,698,887
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.	7.375%		10/1/2017		8,823		9,242,093
Legacy Reserves LP/Legacy Reserves Finance Corp.	8.00%		12/1/2020		12,475		10,853,250
Lloyds Bank plc (United Kingdom)(b)	9.875%		12/16/2021		30,111		33,736,364
Macquarie Group Ltd. (Australia)†(b)	6.00%		1/14/2020		21,622		24,587,263
Macquarie Group Ltd. (Australia)†(b)	7.625%		8/13/2019		6,526		7,800,032
MU Finance plc (United Kingdom)†(b)	8.375%		2/1/2017		61,991		63,618,113
Nationstar Mortgage LLC/Nationstar Capital Corp.	9.625%		5/1/2019		49,100		52,475,625
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.†	5.875%		3/15/2022		11,374		12,269,702
ROC Finance LLC/ROC Finance 1 Corp.†	12.125%		9/1/2018		39,853		43,066,148
SteelRiver Transmission Co. LLC†	4.71%		6/30/2017		19,360		20,203,432
Utility Contract Funding LLC†	7.944%		10/1/2016		13,380		14,067,236
Western Union Co. (The)	1.281%	#	8/21/2015		28,950		28,985,232
Western Union Co. (The)	2.875%		12/10/2017		45,708		46,994,863
Western Union Co. (The)	3.35%		5/22/2019		24,500		25,212,705
Western Union Co. (The)	5.93%		10/1/2016		15,293		16,175,146
Total							1,179,569,940
Financial: Miscellaneous 0.30%
Kayne Anderson MLP Investment Co.	1.519%	#	8/19/2016		92,550		92,517,607
NASDAQ OMX Group, Inc. (The)	5.25%		1/16/2018		12,744		13,851,110
Total							106,368,717
Food 1.03%
Bumble Bee Holdco SCA PIK (Luxembourg)†(b)	9.625%		3/15/2018		14,010		14,500,350
Bumble Bee Holdings, Inc.†	9.00%		12/15/2017		2,725		2,868,063
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. (Greece)†(b)	9.875%		2/1/2020		8,777		9,281,678
H.J. Heinz Co.	4.25%		10/15/2020		9,527		9,759,221
JBS USA LLC/JBS USA Finance, Inc. †	7.25%		6/1/2021		40,097		42,562,965
Minerva Luxembourg SA (Luxembourg)†(b)	12.25%		2/10/2022		4,820		5,326,100
Southern States Cooperative, Inc.†	10.00%		8/15/2021		8,514		8,045,730
Tesco plc (United Kingdom)†(b)	2.70%		1/5/2017		800		807,541
Tesco plc (United Kingdom)†(b)	5.50%		11/15/2017		106,915		114,481,802
Tesco plc (United Kingdom)(b)	5.50%		11/15/2017		676		726,465
US Foods, Inc.	8.50%		6/30/2019		129,787		135,951,882
Want Want China Finance Ltd. (China)†(b)	1.875%		5/14/2018		24,300		24,068,227
Total							368,380,024

See Notes to Financial Statements. 157

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Gaming 0.46%
CCM Merger, Inc.†	9.125%	5/1/2019	$	33,441	$	36,450,690
Mohegan Tribal Gaming Authority†	11.00%	9/15/2018		60,294		60,670,837
MTR Gaming Group, Inc.	11.50%	8/1/2019		2,177		2,334,833
Pinnacle Entertainment, Inc.	7.50%	4/15/2021		37,920		40,432,200
Pinnacle Entertainment, Inc.	8.75%	5/15/2020		25,877		27,106,157
Total						166,994,717
Health Care 0.18%
Zoetis, Inc.	1.15%	2/1/2016		32,320		32,356,425
Zoetis, Inc.	1.875%	2/1/2018		32,646		32,669,276
Total						65,025,701
Health Care Products 1.70%
Biomet, Inc.	6.50%	8/1/2020		54,624		57,833,160
Biomet, Inc.	6.50%	10/1/2020		74,611		78,457,197
Boston Scientific Corp.	2.65%	10/1/2018		963		980,638
Boston Scientific Corp.	2.85%	5/15/2020		19,344		19,433,427
Boston Scientific Corp.	5.125%	1/12/2017		7,800		8,240,201
Boston Scientific Corp.	6.00%	1/15/2020		19,745		22,635,194
Boston Scientific Corp.	6.40%	6/15/2016		16,696		17,655,619
Forest Laboratories, Inc.†	4.375%	2/1/2019		175,131		187,089,645
Hologic, Inc.	6.25%	8/1/2020		12,741		13,234,714
Immucor, Inc.	11.125%	8/15/2019		46,364		49,493,570
Kinetic Concepts, Inc./KCI USA, Inc.	12.50%	11/1/2019		40,791		44,666,145
Life Technologies Corp.	3.50%	1/15/2016		5,125		5,206,390
Life Technologies Corp.	6.00%	3/1/2020		5,848		6,717,375
Mallinckrodt International Finance SA/Mallinckrodt
CB LLC (Luxembourg)†(b)	4.875%	4/15/2020		15,737		16,169,768
Quest Diagnostics, Inc.	2.50%	3/30/2020		8,865		8,898,705
Zimmer Biomet Holdings, Inc.	2.00%	4/1/2018		38,740		39,051,508
Zimmer Holdings, Inc.	2.70%	4/1/2020		34,565		34,849,989
Total						610,613,245
Health Care Services 1.22%
Capella Healthcare, Inc.	9.25%	7/1/2017		22,035		22,696,050
CHS/Community Health Systems, Inc.	8.00%	11/15/2019		9,185		9,782,025
Emdeon, Inc.	11.00%	12/31/2019		25,049		27,522,589
IASIS Healthcare LLC/IASIS Capital Corp.	8.375%	5/15/2019		59,776		62,652,720
Omega Healthcare Investors, Inc.	6.75%	10/15/2022		218,025		229,198,781
Senior Housing Properties Trust	3.25%	5/1/2019		15,331		15,562,023

158 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Health Care Services (continued)
Senior Housing Properties Trust	4.30%	1/15/2016	$	19,315	$	19,538,397
Senior Housing Properties Trust	6.75%	4/15/2020		43,603		49,420,948
Total						436,373,533
Hospital Management 0.04%
United Surgical Partners International, Inc.	9.00%	4/1/2020		2,965		3,191,081
Universal Health Services, Inc.†	3.75%	8/1/2019		11,628		11,904,165
Total						15,095,246
Hospital Supplies 0.03%
Becton, Dickinson & Co.	6.375%	8/1/2019		8,635		10,051,658
Industrial Products 0.04%
PPL UK Distribution Holdings Ltd. (United Kingdom)†(b)	7.25%	12/15/2017		14,085		15,430,568
Insurance 0.58%
CNO Financial Group, Inc.	4.50%	5/30/2020		8,040		8,326,023
CNO Financial Group, Inc.†	6.375%	10/1/2020		25,936		27,672,415
Kemper Corp.	6.00%	5/15/2017		14,250		15,248,711
Liberty Mutual Group, Inc.†	6.70%	8/15/2016		8,308		8,855,439
TIAA Asset Management Finance Co. LLC†	2.95%	11/1/2019		37,356		38,109,657
UnumProvident Finance Co. plc (United Kingdom)†(b)	6.85%	11/15/2015		6,628		6,803,066
Willis Group Holdings plc (United Kingdom)(b)	4.125%	3/15/2016		52,766		53,975,080
Willis North America, Inc.	6.20%	3/28/2017		46,561		49,874,095
Total						208,864,486
Investment Management Companies 0.26%
Grupo Aval Ltd.†	5.25%	2/1/2017		8,000		8,392,000
Lazard Group LLC	6.85%	6/15/2017		17,040		18,697,583
Leucadia National Corp.	8.125%	9/15/2015		65,101		66,362,332
Total						93,451,915
Leasing 0.61%
Aviation Capital Group Corp.†	3.875%	9/27/2016		42,635		43,666,213
Aviation Capital Group Corp.†	4.625%	1/31/2018		45,897		47,900,037
Aviation Capital Group Corp.†	7.125%	10/15/2020		11,892		13,942,074
International Lease Finance Corp.	5.875%	4/1/2019		4,824		5,287,586
International Lease Finance Corp.	6.25%	5/15/2019		38,740		43,098,250
International Lease Finance Corp.†	7.125%	9/1/2018		54,980		61,989,950
Penske Truck Leasing Co. LP/PTL Finance Corp.†	2.875%	7/17/2018		1,435		1,467,072
Total						217,351,182

See Notes to Financial Statements. 159

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Leisure 0.10%
Central Garden & Pet Co.	8.25%		3/1/2018	$	35,887	$	36,855,949
Lodging 1.44%
Eldorado Resorts LLC/Eldorado Capital Corp.†	8.625%		6/15/2019		19,185		20,216,194
Host Hotels & Resorts LP	5.875%		6/15/2019		171,131		176,407,311
Host Hotels & Resorts LP	6.00%		11/1/2020		217,543		228,637,693
Hyatt Hotels Corp.†	6.875%		8/15/2019		5,035		5,860,352
Marina District Finance Co., Inc.	9.875%		8/15/2018		42,275		44,018,844
Studio City Finance Ltd. (Hong Kong)†(b)	8.50%		12/1/2020		40,436		41,042,540
Total							516,182,934
Machinery: Agricultural 0.37%
Lorillard Tobacco Co.	6.875%		5/1/2020		65,779		77,387,809
Lorillard Tobacco Co.	8.125%		6/23/2019		44,486		54,013,300
Total							131,401,109
Machinery: Industrial/Specialty 0.03%
Cleaver-Brooks, Inc.†	8.75%		12/15/2019		10,750		10,884,375
Machinery: Oil Well Equipment & Services 0.06%
National Oilwell Varco, Inc.	6.125%		8/15/2015		20,320		20,334,854
Media 0.21%
Harron Communications LP/Harron Finance Corp.†	9.125%		4/1/2020		15,783		17,164,012
Sirius XM Radio, Inc.†	5.25%		8/15/2022		14,262		15,099,893
Videotron Ltd. (Canada)(b)	9.125%		4/15/2018		1,476		1,505,520
WideOpenWest Finance LLC/WideOpenWest Capital Corp.	10.25%		7/15/2019		38,433		41,171,351
Total							74,940,776
Merchandising 0.06%
Kemet Corp.	10.50%		5/1/2018		21,141		21,563,820
Metal Fabricating 0.15%
Edgen Murray Corp.†	8.75%		11/1/2020		32,939		35,903,510
Glencore Canada Corp. (Canada)(b)	5.50%		6/15/2017		7,605		8,108,664
Glencore Canada Corp. (Canada)(b)	6.00%		10/15/2015		11,061		11,254,999
Total							55,267,173
Metals & Minerals: Miscellaneous 0.85%
Anglo American Capital plc (United Kingdom)†(b)	1.225%	#	4/15/2016		11,250		11,246,884
AngloGold Ashanti Holdings plc (Isle Of Man)(b)	8.50%		7/30/2020		6,361		6,969,811

160 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Metals & Minerals: Miscellaneous (continued)
Barrick Gold Corp. (Canada)(b)	2.90%		5/30/2016	$	3,258	$	3,293,366
Barrick International Barbados Corp. (Barbados)†(b)	5.75%		10/15/2016		1,693		1,792,240
Glencore Finance Canada Ltd. (Canada)†(b)	2.05%		10/23/2015		72,601		72,840,148
Glencore Finance Canada Ltd. (Canada)†(b)	3.60%		1/15/2017		49,100		50,638,008
KGHM International Ltd. (Canada)†(b)	7.75%		6/15/2019		30,708		32,005,413
Kinross Gold Corp. (Canada)(b)	3.625%		9/1/2016		77,837		78,099,389
New Gold, Inc. (Canada)†(b)	7.00%		4/15/2020		44,894		47,026,465
Total							303,911,724
Miscellaneous 0.07%
Majapahit Holding BV (Netherlands)†(b)	7.75%		10/17/2016		13,835		14,941,800
NextEra Energy Capital Holdings, Inc.	7.875%		12/15/2015		11,250		11,644,976
Total							26,586,776
Natural Gas 0.31%
Bill Barrett Corp.	7.625%		10/1/2019		3,169		3,042,240
Kinder Morgan, Inc.	7.00%		6/15/2017		44,646		48,928,043
Kinder Morgan, Inc.	7.25%		6/1/2018		42,923		48,574,843
SourceGas LLC†	5.90%		4/1/2017		3,180		3,381,962
Southern Star Central Gas Pipeline, Inc.†	6.00%		6/1/2016		2,965		3,080,510
Tennessee Gas Pipeline Co. LLC	7.50%		4/1/2017		4,425		4,864,274
Total							111,871,872
Oil 2.25%
Afren plc (United Kingdom)†(b)(c)	6.625%		12/9/2020		8,300		3,693,500
Afren plc (United Kingdom)†(b)(c)	10.25%		4/8/2019		11,300		5,028,500
Afren plc (United Kingdom)†(b)(c)	11.50%		2/1/2016		17,250		7,935,000
Antero Resources Corp.	6.00%		12/1/2020		10,297		10,605,910
Canadian Oil Sands Ltd. (Canada)†(b)	7.75%		5/15/2019		28,636		31,486,027
Chaparral Energy, Inc.	8.25%		9/1/2021		18,815		15,334,225
Chaparral Energy, Inc.	9.875%		10/1/2020		31,305		27,157,087
CNPC General Capital Ltd. (China)†(b)	1.175%	#	5/14/2017		27,800		27,847,399
CNPC General Capital Ltd. (China)†(b)	1.45%		4/16/2016		16,600		16,623,788
CNPC General Capital Ltd. (China)†(b)	2.75%		4/19/2017		9,800		9,996,931
Concho Resources, Inc.	6.50%		1/15/2022		2,464		2,599,520
Continental Resources, Inc.	7.125%		4/1/2021		103,099		109,800,435
Continental Resources, Inc.	7.375%		10/1/2020		85,836		90,288,742
DCP Midstream LLC†	9.75%		3/15/2019		35,977		42,122,231
Delek & Avner Tamar Bond Ltd. (Israel)†(b)	2.803%		12/30/2016		10,000		10,050,000
Gulf South Pipeline Co. LP†	6.30%		8/15/2017		1,300		1,396,208

See Notes to Financial Statements. 161

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Oil (continued)
Harvest Operations Corp. (Canada)†(b)	2.125%		5/14/2018	$	4,800	$	4,838,630
Hilcorp Energy I LP/Hilcorp Finance Co.†	7.625%		4/15/2021		28,599		29,957,452
Hilcorp Energy I LP/Hilcorp Finance Co.†	8.00%		2/15/2020		51,020		53,086,310
MEG Energy Corp. (Canada)†(b)	6.50%		3/15/2021		15,374		14,989,650
Noble Holding International Ltd.	3.45%		8/1/2015		20,199		20,258,284
Panhandle Eastern Pipeline Co. LP	7.00%		6/15/2018		9,427		10,724,542
Petroleos de Venezuela SA (Venezuela)(b)	5.25%		4/12/2017		3,250		1,769,625
Petroleos de Venezuela SA (Venezuela)†(b)	8.50%		11/2/2017		5,000		3,718,750
Ras Laffan Liquefied Natural Gas Co., Ltd. III (Qatar)†(b)	5.832%		9/30/2016		4,973		5,163,938
Rosetta Resources, Inc.	5.625%		5/1/2021		44,391		47,280,854
Rosneft Finance SA (Luxembourg)†(b)	7.875%		3/13/2018		10,100		10,657,722
Rosneft Oil Co. via Rosneft International Finance Ltd. (Ireland)†(b)	3.149%		3/6/2017		22,300		21,547,375
Seven Generations Energy Ltd. (Canada)†(b)	8.25%		5/15/2020		19,101		20,581,327
Sinopec Capital 2013 Ltd.†	1.25%		4/24/2016		9,600		9,603,744
Sinopec Group Overseas Development 2013 Ltd.†	2.50%		10/17/2018		19,500		19,793,651
Sinopec Group Overseas Development 2014 Ltd.†	1.051%	#	4/10/2017		37,800		37,766,812
Sinopec Group Overseas Development 2015 Ltd.†	2.50%		4/28/2020		14,500		14,437,317
Valero Energy Corp.	9.375%		3/15/2019		5,800		7,231,916
Whiting Canadian Holding Co. ULC	8.125%		12/1/2019		54,124		57,642,060
Woodside Finance Ltd. (Australia)†(b)	8.75%		3/1/2019		2,850		3,477,698
Total							806,493,160
Oil: Crude Producers 1.90%
Anadarko Petroleum Corp.	5.95%		9/15/2016		16,497		17,488,750
Anadarko Petroleum Corp.	6.375%		9/15/2017		2,081		2,299,734
Anadarko Petroleum Corp.	8.70%		3/15/2019		2,137		2,607,631
Cimarex Energy Co.	5.875%		5/1/2022		7,892		8,552,955
Columbia Pipeline Group, Inc.†	2.45%		6/1/2018		27,198		27,467,777
Columbia Pipeline Group, Inc.†	3.30%		6/1/2020		10,245		10,338,066
Enbridge Energy Partners LP	5.20%		3/15/2020		11,550		12,650,045
Enbridge Energy Partners LP	6.50%		4/15/2018		3,525		3,930,435
Enbridge Energy Partners LP	9.875%		3/1/2019		46,537		58,227,746
EnLink Midstream Partners LP/EnLink Midstream Finance Corp.	7.125%		6/1/2022		85,409		95,303,547
Florida Gas Transmission Co. LLC†	7.90%		5/15/2019		1,000		1,189,054
Gulfstream Natural Gas System LLC†	5.56%		11/1/2015		12,760		12,968,218
Hiland Partners LP/Hiland Partners Finance Corp.†	5.50%		5/15/2022		12,360		12,885,300
Hiland Partners LP/Hiland Partners Finance Corp.†	7.25%		10/1/2020		104,332		113,982,710

162 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Oil: Crude Producers 1.90%
Kinder Morgan Finance Co. LLC	5.70%		1/5/2016	$	423	$	434,889
Midcontinent Express Pipeline LLC†	6.70%		9/15/2019		41,157		44,603,899
OGX Austria GmbH (Austria)†(b)(c)	8.50%		6/1/2018		31,150		186,931
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp.	6.50%		5/15/2021		9,690		10,351,236
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp.	8.375%		6/1/2020		28,798		31,755,555
Range Resources Corp.	6.75%		8/1/2020		850		886,125
Sabine Pass LNG LP	6.50%		11/1/2020		31,200		32,994,000
Southern Natural Gas Co. LLC†	5.90%		4/1/2017		4,400		4,711,489
Southwestern Energy Co.	3.30%		1/23/2018		13,837		14,236,737
Sunoco Logistics Partners Operations LP	6.125%		5/15/2016		17,395		18,183,028
Sunoco, Inc.	5.75%		1/15/2017		12,908		13,644,827
W&T Offshore, Inc.	8.50%		6/15/2019		19,628		14,083,090
Williams Partners LP/ACMP Finance Corp.	4.875%		5/15/2023		37,253		38,090,485
Williams Partners LP/ACMP Finance Corp.	6.125%		7/15/2022		71,594		77,082,754
Total							681,137,013
Oil: Integrated Domestic 0.85%
Buckeye Partners LP	4.875%		2/1/2021		8,650		9,052,251
Buckeye Partners LP	6.05%		1/15/2018		8,670		9,440,468
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.	6.50%		11/15/2020		30,822		32,748,375
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.	6.625%		5/1/2021		59,641		62,772,153
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.	6.75%		2/1/2022		29,347		31,327,923
Kinder Morgan Energy Partners LP	4.10%		11/15/2015		10,915		11,064,121
Kinder Morgan Energy Partners LP	6.50%		4/1/2020		48,250		55,660,862
Korea National Oil Corp. (South Korea)†(b)	2.75%		1/23/2019		10,000		10,219,650
Korea National Oil Corp. (South Korea)†(b)	2.875%		11/9/2015		30,455		30,754,220
Rowan Cos., Inc.	7.875%		8/1/2019		30,676		34,631,394
Texas Gas Transmission LLC	4.60%		6/1/2015		17,542		17,542,000
Total							305,213,417
Oil: Integrated International 0.91%
Petrobras Global Finance BV (Netherlands)(b)	1.896%	#	5/20/2016		24,300		23,940,117
Petrobras Global Finance BV (Netherlands)(b)	2.415%	#	1/15/2019		45,740		43,167,125
Petrobras Global Finance BV (Netherlands)(b)	2.631%	#	3/17/2017		74,878		73,391,672
Petrobras Global Finance BV (Netherlands)(b)	3.50%		2/6/2017		3,955		3,948,277
Petrobras Global Finance BV (Netherlands)(b)	3.875%		1/27/2016		14,450		14,525,862
Petroleos Mexicanos (Mexico)(b)	2.295%	#	7/18/2018		14,600		15,001,500
Transocean, Inc.	6.375%		12/15/2021		33,218		31,349,487

See Notes to Financial Statements. 163

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Oil: Integrated International (continued)
Weatherford International Ltd.	9.625%	3/1/2019	$	103,667	$	122,091,010
Total						327,415,050
Paper & Forest Products 0.22%
Coveris Holding Corp.†	10.00%	6/1/2018		48,575		51,732,375
Mercer International, Inc. (Canada)(b)	7.00%	12/1/2019		26,900		28,514,000
Total						80,246,375
Production Technology Equipment 0.03%
CNOOC Finance 2013 Ltd. (Hong Kong)(b)	1.75%	5/9/2018		9,700		9,695,257
Radio & TV Broadcasters 0.00%
Sky plc (United Kingdom)†(b)	9.50%	11/15/2018		1,389		1,716,387
Real Estate Investment Trusts 1.71%
American Tower Corp.	2.80%	6/1/2020		51,635		51,408,839
American Tower Corp.	7.25%	5/15/2019		65,237		76,061,906
ARC Properties Operating Partnership LP	2.00%	2/6/2017		59,135		57,952,300
ARC Properties Operating Partnership LP	3.00%	2/6/2019		102,084		98,511,060
Boston Properties LP	5.625%	11/15/2020		781		905,355
DDR Corp.	7.50%	7/15/2018		1,880		2,177,911
DDR Corp.	9.625%	3/15/2016		7,531		8,030,870
Digital Realty Trust LP	5.875%	2/1/2020		77,543		88,093,888
EPR Properties	7.75%	7/15/2020		65,799		79,154,749
Goodman Funding Pty Ltd. (Australia)†(b)	6.375%	11/12/2020		9,383		10,874,559
Healthcare Realty Trust, Inc.	5.75%	1/15/2021		4,623		5,203,159
Hospitality Properties Trust	6.30%	6/15/2016		22,735		23,313,401
Hospitality Properties Trust	6.70%	1/15/2018		4,560		4,969,374
Iron Mountain, Inc.	8.375%	8/15/2021		17,334		18,088,029
Kilroy Realty LP	4.80%	7/15/2018		21,148		22,707,623
Kilroy Realty LP	6.625%	6/1/2020		5,775		6,767,289
Potlatch Corp.	6.95%	12/15/2015		1,500		1,541,250
Reckson Operating Partnership LP	6.00%	3/31/2016		6,716		6,983,968
SL Green Realty Corp.	5.00%	8/15/2018		11,525		12,386,298
SL Green Realty Corp.	7.75%	3/15/2020		30,966		37,236,646
UDR, Inc.	5.25%	1/15/2016		624		639,869
Total						613,008,343

164 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Restaurants 0.32%
Darden Restaurants, Inc.	6.45%		10/15/2017	$	103,180	$	113,604,792
Yum! Brands, Inc.	6.25%		4/15/2016		1,218		1,274,219
Total							114,879,011
Retail 0.76%
Academy Ltd./Academy Finance Corp.†	9.25%		8/1/2019		11,601		12,326,063
Checkers Drive-In Restaurants, Inc.†	11.00%		12/1/2017		4,273		4,641,546
Chinos Intermediate Holdings A, Inc. PIK†	7.75%		5/1/2019		71,738		61,874,025
DBP Holding Corp.†	7.75%		10/15/2020		16,625		14,588,438
Dollar General Corp.	4.125%		7/15/2017		24,574		25,763,824
New Academy Finance Co. LLC/New Academy Finance Corp. PIK†	8.00%		6/15/2018		45,084		45,647,550
Party City Holdings, Inc.	8.875%		8/1/2020		25,646		27,736,149
PETCO Holdings, Inc. PIK†	8.50%		10/15/2017		40,243		41,550,897
Tops Holding LLC/Tops Markets LLC	8.875%		12/15/2017		36,345		38,162,250
Total							272,290,742
Retail: Specialty 0.08%
Petco Animal Supplies, Inc.†	9.25%		12/1/2018		25,704		27,021,330
Security Services 0.08%
Smith & Wesson Holding Corp.†	5.00%		7/15/2018		2,100		2,044,875
Smith & Wesson Holding Corp.†	5.875%		6/15/2017		24,700		25,481,755
Total							27,526,630
Steel 0.47%
Allegheny Technologies, Inc.	9.375%		6/1/2019		70,680		84,285,900
Glencore Funding LLC†	1.445%	#	5/27/2016		27,700		27,786,562
Glencore Funding LLC†	1.635%	#	1/15/2019		4,400		4,350,078
Glencore Funding LLC†	1.70%		5/27/2016		36,440		36,545,020
Vale Overseas Ltd. (Brazil)(b)	6.25%		1/11/2016		14,390		14,832,205
Total							167,799,765
Technology 0.68%
Alibaba Group Holding Ltd. (China)†(b)	1.625%		11/28/2017		38,570		38,715,332
Alibaba Group Holding Ltd. (China)†(b)	2.50%		11/28/2019		63,412		63,293,737
Baidu, Inc. (China)(b)	2.25%		11/28/2017		18,800		19,012,966
Baidu, Inc. (China)(b)	2.75%		6/9/2019		14,800		14,970,925
Baidu, Inc. (China)(b)	3.25%		8/6/2018		14,500		15,027,264
Fiserv, Inc.	6.80%		11/20/2017		11,450		13,091,506
Tencent Holdings Ltd. (China)†(b)	2.00%		5/2/2017		14,800		14,883,368

See Notes to Financial Statements. 165

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Technology (continued)
Tencent Holdings Ltd. (China)†(b)	3.375%		5/2/2019	$	25,350	$	26,167,740
Tencent Holdings Ltd. (China)†(b)	4.625%		12/12/2016		13,100		13,724,621
Viasystems, Inc.†	7.875%		5/1/2019		22,717		24,165,209
Total							243,052,668
Telecommunications 1.18%
Altice Financing SA (Luxembourg)†(b)	7.875%		12/15/2019		35,378		37,633,347
AT&T, Inc.	1.60%		2/15/2017		21,190		21,294,954
AT&T, Inc.	2.40%		8/15/2016		67,720		68,722,865
AT&T, Inc.	2.45%		6/30/2020		48,255		47,855,931
AT&T, Inc.	2.95%		5/15/2016		38,352		39,027,379
AT&T, Inc.	5.50%		2/1/2018		1,391		1,530,713
AT&T, Inc.	5.80%		2/15/2019		8,382		9,466,094
Block Communications, Inc.†	7.25%		2/1/2020		18,453		19,052,722
Consolidated Communications, Inc.	10.875%		6/1/2020		51,381		57,739,399
Embarq Corp.	7.082%		6/1/2016		7,899		8,326,289
Intelsat Jackson Holdings SA (Luxembourg)(b)	7.25%		4/1/2019		49,565		50,989,994
Qwest Corp.	7.625%		6/15/2015		500		500,955
Sable International Finance Ltd.†	8.75%		2/1/2020		27,902		30,134,160
T-Mobile USA, Inc.	6.464%		4/28/2019		20,998		21,746,054
T-Mobile USA, Inc.	6.625%		11/15/2020		3,862		4,055,100
VimpelCom Holdings BV (Netherlands)†(b)	5.20%		2/13/2019		4,800		4,687,200
Total							422,763,156
Telephone-Long Distance 0.05%
America Movil SAB de CV (Mexico)(b)	1.268%	#	9/12/2016		19,400		19,462,352
Textiles Products 0.09%
Mohawk Industries, Inc.	6.125%		1/15/2016		14,595		15,044,453
Polymer Group, Inc.	7.75%		2/1/2019		18,281		19,035,091
Total							34,079,544
Tobacco 0.12%
Reynolds American, Inc.	6.75%		6/15/2017		16,321		17,974,023
Reynolds American, Inc.	7.75%		6/1/2018		20,319		23,558,824
Total							41,532,847

166 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Transportation: Miscellaneous 0.16%
Asciano Finance Ltd. (Australia)†(b)	3.125%	9/23/2015	$	24,966	$	25,121,838
Kazakhstan Temir Zholy Finance BV (Netherlands)(b)	7.00%	5/11/2016		12,700		13,222,224
Transnet SOC Ltd. (South Africa)†(b)	4.50%	2/10/2016		20,500		20,917,646
Total						59,261,708
Truckers 0.08%
Con-way, Inc.	7.25%	1/15/2018		26,332		29,517,830
Utilities 0.22%
Origin Energy Finance Ltd. (Australia)†(b)	3.50%	10/9/2018		55,120		56,526,663
Public Service Co. of New Mexico	7.95%	5/15/2018		19,955		23,360,520
Total						79,887,183
Utilities: Electrical 0.08%
Israel Electric Corp. Ltd. (Israel)†(b)	6.70%	2/10/2017		16,600		17,782,750
Jersey Central Power & Light Co.	5.625%	5/1/2016		8,750		9,082,220
Jersey Central Power & Light Co.	7.35%	2/1/2019		300		350,654
Total						27,215,624
Utilities: Miscellaneous 0.01%
MarkWest Energy Partners LP/MarkWest Energy
Finance Corp.	6.75%	11/1/2020		4,537		4,807,178
Wholesale 0.12%
Interline Brands, Inc. PIK	10.00%	11/15/2018		40,594		42,674,443
Total Corporate Bonds (cost $15,352,996,762)						15,340,093,315
FLOATING RATE LOANS(e) 5.16%
Aerospace/Defense 0.47%
Alliant Techsystems, Inc. Term Loan A	2.185%	11/1/2018		30,011		29,998,510
Alliant Techsystems, Inc. Term Loan B	3.50%	11/1/2020		26,903		27,014,660
Delos Finance S.A.R.L. Term Loan (Luxembourg)(b)	3.50%	3/6/2021		95,105		95,334,203
DigitalGlobe, Inc. Term Loan	3.75%	1/31/2020		15,974		16,028,474
Total						168,375,847
Air Transportation 0.02%
Delta Air Lines, Inc. 2014 Term Loan B2	2.433%	4/18/2016		6,614		6,621,839
Banks: Money Center 0.07%
Ocwen Loan Servicing Initial Term Loan	5.00%	2/15/2018		24,060		23,915,822
Chemicals 0.04%
Celanese US Holdings LLC Dollar Term Loan C3	2.431%	10/31/2018		12,732		12,818,089

See Notes to Financial Statements. 167

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Consumer Products 0.01%
Energizer SpinCo, Inc. Term Loan B	–(f)	5/20/2022	$	5,000	$	5,025,000
Energy Equipment & Services 0.05%
Fieldwood Energy LLC 2nd Lien Closing Date Term Loan	8.375%	9/30/2020		12,836		10,581,710
Templar Energy LLC 2nd Lien New Term Loan	8.50%	11/25/2020		7,322		5,676,380
Total						16,258,090
Financial Services 0.20%
Hudson Pacific Properties, L.P. 5 Year Term Loan	1.48%	4/1/2020		12,501		12,501,000
Synchrony Financial Term Loan	2.081%	7/30/2019		60,928		60,838,848
Total						73,339,848
Food 0.15%
Aramark Corp. Term Loan E	3.25%	9/7/2019		49,206		49,400,657
New HB Acquisition LLC Term Loan B	6.75%	4/9/2020		4,203		4,270,841
Total						53,671,498
Gaming 0.69%
Las Vegas Sands LLC Term Loan B	3.25%	12/19/2020		140,996		141,163,118
Seminole Tribe of Florida Initial Term Loan	3.00%	4/29/2020		105,686		105,844,130
Total						247,007,248
Health Care 1.20%
Actavis, Inc. Term Loan A1	1.935%	10/31/2017		3,482		3,479,336
Amgen, Inc. Term Loan	1.275%	9/18/2018		39,095		39,062,675
Ardent Medical Services, Inc. 2nd Lien Term Loan	11.00%	1/2/2019		5,464		5,539,420
Becton, Dickinson & Co. Term Loan	1.25%	11/26/2021		17,500		17,500,000
Express Scripts Holding Co. 2 Year Term Loan	1.311%	4/28/2017		34,250		34,164,375
Express Scripts Holding Co. 5 Year Term Loan	1.436%	4/28/2020		33,750		33,665,625
Fresenius Medical Care AG & Co. KGaA Tranche A Term Loan	1.653%	10/30/2017		47,020		47,137,439
Fresenius US Finance I, Inc. Tranche B Term Loan (Germany)(b)	2.273%	8/7/2019		98,328		98,620,106
Mallinckrodt International Finance SA Incremental Term Loan B1 (Luxembourg)(b)	3.50%	3/19/2021		14,322		14,348,425
Mallinckrodt International Finance SA Initial Term Loan B (Luxembourg)(b)	3.25%	3/19/2021		63,242		63,270,319
PharMedium Healthcare Corp. 2nd Lien Initial Term Loan	7.75%	1/28/2022		7,415		7,470,612
Thermo Fisher Scientific, Inc. Committed Term Loan	1.649%	1/31/2017		52,824		52,834,936

168 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Health Care (continued)
Warner Chilcott Corp. 3 Year Term Loan	1.685%	10/1/2016	$	5,007	$	5,004,337
Warner Chilcott Corp. 5 Year Term Loan A	1.81%	8/1/2018		10,283		10,276,875
Total						432,374,480
Health Care Products 0.11%
Biomet, Inc. Dollar Term Loan B2	3.685%	7/25/2017		40,639		40,651,126
Leisure 0.01%
ROC Finance LLC Funded Term Loan B	5.00%	6/20/2019		2,955		2,919,289
Media 0.59%
AMC Networks, Inc. Term Loan A	1.93%	12/16/2019		134,636		133,626,090
Charter Communications Operating LLC Term Loan E	3.00%	7/1/2020		40,175		39,976,765
CSC Holdings LLC Term Loan B	2.685%	4/17/2020		38,481		38,355,908
Total						211,958,763
Metals & Minerals: Miscellaneous 0.04%
American Rock Salt Co. LLC 2nd Lien Delayed Draw
Term Loan	8.00%	5/20/2022		13,770		14,048,292
Retail 0.06%
Staples, Inc. 1st Lien Term Loan	–(f)	4/23/2021		22,879		22,929,105
Services 0.35%
Hertz Corp. (The) Letter of Credit Term Loan	1.00%	3/11/2018		37,237		36,935,506
Kasima LLC Term Loan	3.25%	5/17/2021		72,109		72,109,288
Neff Rental LLC 2nd Lien Closing Date Term Loan	7.25%	6/9/2021		16,517		16,413,348
Total						125,458,142
Technology 0.37%
Avago Technologies Cayman Ltd. Term Loan	3.75%	5/6/2021		74,707		74,885,071
Sensata Technologies B.V. 6th Amendment Term Loan (Netherlands)(b)	3.00%	10/14/2021		57,637		57,873,546
Total						132,758,617
Telecommunications 0.48%
Activision Blizzard, Inc. Term Loan	3.25%	10/12/2020		122,814		123,552,627
American Tower Corp. Term Loan A	1.44%	1/3/2019		47,125		47,066,094
Total						170,618,721
Utilities 0.25%
Moxie Liberty LLC Advance Construction Term Loan B1	7.50%	8/21/2020		25,515		25,578,424

See Notes to Financial Statements. 169

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount			Fair
Investments	Rate	Date	(000)			Value
Utilities (continued)
Moxie Patriot LLC Advanced Construction Term Loan B1	6.75%	12/19/2020	$	15,299		$	15,299,363
Panda Sherman Power LLC Advance Construction Term Loan	9.00%	9/14/2018		9,218			9,160,727
Texas Competitive Electric Holdings Co. LLC DIP 2014 Delayed Draw Term Loan	3.75%	5/5/2016		22,533			22,685,148
Windsor Financing LLC Facility B Term Loan	6.25%	12/5/2017		17,016			17,186,061
Total							89,909,723
Total Floating Rate Loans (cost $1,848,015,669)							1,850,659,539
FOREIGN BONDS(d) 0.06%
France 0.03%
Europcar Groupe SA†	9.375%	4/15/2018	EUR	2,625			3,041,605
SMCP SAS†	8.875%	6/15/2020	EUR	6,469			7,744,699
Total							10,786,304
Luxembourg 0.00%
Findus Bondco SA†	9.125%	7/1/2018	EUR	800			926,965
United Kingdom 0.03%
R&R Ice Cream plc PIK†	9.25%	5/15/2018	EUR	9,176			10,266,964
Total Foreign Bonds (cost $25,250,681)							21,980,233
FOREIGN GOVERNMENT OBLIGATIONS(b) 0.35%
Argentina 0.03%
City of Buenos Aires†	9.95%	3/1/2017	$	8,100			8,424,000
Provincia de Neuquen†	7.875%	4/26/2021		2,405			2,441,430
Total							10,865,430
Brazil 0.02%
Federal Republic of Brazil	8.00%	1/15/2018		7,767			8,407,417
Dominican Republic 0.03%
Dominican Republic†	9.04%	1/23/2018		9,102			9,830,496
Gabon 0.00%
Republic of Gabon†	6.375%	12/12/2024		–	(g)		258
Ghana 0.05%
Republic of Ghana†	8.50%	10/4/2017		16,925			17,559,688
Iceland 0.06%
Republic of Iceland†	4.875%	6/16/2016		20,700			21,451,286

170 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Indonesia 0.05%
Perusahaan Penerbit SBSN†	4.00%		11/21/2018	$	5,800	$	6,097,250
Republic of Indonesia†	6.875%		1/17/2018		11,823		13,359,990
Total							19,457,240
Mongolia 0.02%
Republic of Mongolia†	4.125%		1/5/2018		5,800		5,582,500
Peru 0.05%
Republic of Peru	7.125%		3/30/2019		10,000		11,810,000
Republic of Peru	8.375%		5/3/2016		3,900		4,163,250
Total							15,973,250
Poland 0.04%
Republic of Poland	5.00%		10/19/2015		15,000		15,288,600
Total Foreign Government Obligations (cost $123,199,757)							124,416,165
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.12%
Federal Home Loan Mortgage Corp. 2011-K704 B†	4.535%	#	10/25/2030		47,674		50,947,345
Federal Home Loan Mortgage Corp. 2012-K705 C†	4.161%	#	9/25/2044		4,165		4,347,787
Federal Home Loan Mortgage Corp. 2012-K706 B†	4.027%	#	11/25/2044		6,835		7,206,154
Federal Home Loan Mortgage Corp. 2012-K707 B†	3.883%	#	1/25/2047		6,970		7,301,291
Federal Home Loan Mortgage Corp. 2012-K708 C†	3.755%	#	2/25/2045		6,800		7,013,710
Federal Home Loan Mortgage Corp. 2012-K709 B†	3.741%	#	4/25/2045		30,375		31,869,982
Federal Home Loan Mortgage Corp. 2012-K709 C†	3.741%	#	4/25/2045		8,343		8,602,884
Federal Home Loan Mortgage Corp. 2012-K710 B†	3.819%	#	6/25/2047		11,400		11,896,071
Federal Home Loan Mortgage Corp. 2012-K711 B†	3.562%	#	8/25/2045		16,534		17,243,441
Federal Home Loan Mortgage Corp. 2012-K711 C†	3.562%	#	8/25/2045		20,300		20,768,016
Federal Home Loan Mortgage Corp. 2013-K502 C†	3.189%	#	3/25/2045		5,000		5,094,897
Federal Home Loan Mortgage Corp. 2013-K712 B†	3.368%	#	5/25/2045		12,100		12,404,569
Federal Home Loan Mortgage Corp. 2013-K713 B†	3.165%	#	4/25/2046		34,895		35,434,285
Federal Home Loan Mortgage Corp. 2014-K503 B†	3.009%	#	10/25/2047		37,094		37,607,937
Federal Home Loan Mortgage Corp. K503 X1 IO	0.627%	#	8/25/2019		299,945		5,844,573
Government National Mortgage Assoc. 2013-162 A	2.75%		9/16/2046		13,597		13,642,433
Government National Mortgage Assoc. 2013-171 IO	1.141%	#	6/16/2054		58,259		4,972,153
Government National Mortgage Assoc. 2013-193 IO	1.097%	#	1/16/2055		134,479		11,314,660
Government National Mortgage Assoc. 2014-109 A	2.325%		1/16/2046		60,676		61,751,831
Government National Mortgage Assoc. 2014-112 A	3.00%	#	1/16/2048		26,653		27,588,388
Government National Mortgage Assoc. 2014-135 AS	2.30%		2/16/2047		21,341		21,635,663
Government National Mortgage Assoc. 2014-15 IO	1.059%	#	8/16/2054		73,614		5,661,542
Government National Mortgage Assoc. 2014-164 AK	2.90%	#	3/16/2055		19,566		20,212,095

See Notes to Financial Statements. 171

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued)
Government National Mortgage Assoc. 2014-172 A	3.05%	#	1/16/2049	$	14,622	$	15,136,937
Government National Mortgage Assoc. 2014-186 AP	2.80%		4/16/2050		48,040		48,894,513
Government National Mortgage Assoc. 2014-64 A	2.20%		2/16/2045		18,064		18,282,364
Government National Mortgage Assoc. 2014-64 IO	1.308%	#	12/16/2054		75,095		6,764,015
Government National Mortgage Assoc. 2014-70 A	2.50%		3/16/2049		8,905		9,029,982
Government National Mortgage Assoc. 2014-78 A	2.20%		4/16/2047		14,884		14,977,644
Government National Mortgage Assoc. 2014-78 IO	0.933%	#	3/16/2056		79,470		5,841,906
Government National Mortgage Assoc. 2015-19 AD	2.90%		10/16/2055		46,053		46,985,006
Government National Mortgage Assoc. 2015-22 AS	2.90%		1/16/2049		46,300		47,369,402
Government National Mortgage Assoc. 2015-33 AS	2.90%	#	5/16/2054		49,310		50,443,940
Government National Mortgage Assoc. 2015-41 AD	2.90%	#	8/16/2055		46,057		47,126,730
Government National Mortgage Assoc. 2015-48 AS	2.90%	#	2/16/2049		17,977		18,320,942
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $751,768,475)							759,535,088
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 4.46%
Federal Home Loan Mortgage Corp.	2.158%	#	6/1/2043		52,015		53,230,086
Federal Home Loan Mortgage Corp.	2.197%	#	6/1/2038		9,972		10,588,521
Federal Home Loan Mortgage Corp.	2.237%	#	12/1/2037		12,240		13,034,842
Federal Home Loan Mortgage Corp.	2.255%	#	2/1/2038		11,854		12,600,894
Federal Home Loan Mortgage Corp.	2.265%	#	12/1/2035 – 11/1/2038		54,235		57,748,132
Federal Home Loan Mortgage Corp.	2.273%	#	4/1/2037		23,267		24,685,078
Federal Home Loan Mortgage Corp.	2.295%	#	7/1/2034		32,004		34,030,196
Federal Home Loan Mortgage Corp.	2.296%	#	12/1/2039		23,043		24,469,268
Federal Home Loan Mortgage Corp.	2.303%	#	9/1/2037		10,319		11,005,780
Federal Home Loan Mortgage Corp.	2.304%	#	12/1/2036		34,294		36,691,372
Federal Home Loan Mortgage Corp.	2.305%	#	10/1/2038		15,118		16,156,958
Federal Home Loan Mortgage Corp.	2.317%	#	2/1/2035		72,937		77,684,575
Federal Home Loan Mortgage Corp.	2.332%	#	3/1/2038		9,333		9,999,226
Federal Home Loan Mortgage Corp.	2.333%	#	5/1/2036		13,831		14,756,292
Federal Home Loan Mortgage Corp.	2.345%	#	5/1/2037		15,810		16,880,205
Federal Home Loan Mortgage Corp.	2.346%	#	10/1/2039		25,990		27,622,451
Federal Home Loan Mortgage Corp.	2.352%	#	6/1/2041		9,860		10,548,933
Federal Home Loan Mortgage Corp.	2.365%	#	6/1/2038		10,491		11,185,736
Federal Home Loan Mortgage Corp.	2.37%		10/1/2035		9,892		10,563,358
Federal Home Loan Mortgage Corp.	2.404%	#	9/1/2035		11,535		12,309,309
Federal Home Loan Mortgage Corp.	2.474%	#	9/1/2036		31,150		33,455,986
Federal Home Loan Mortgage Corp.	2.543%	#	2/1/2037		14,514		15,619,405

172 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued)
Federal Home Loan Mortgage Corp.	2.634%	#	12/1/2035	$	11,566	$	12,442,290
Federal Home Loan Mortgage Corp.	3.092%	#	10/1/2043		10,100		10,482,635
Federal Home Loan Mortgage Corp.	3.156%	#	11/1/2043		9,661		10,070,856
Federal Home Loan Mortgage Corp.	3.23%	#	12/1/2040		9,320		9,851,996
Federal Home Loan Mortgage Corp.	3.773%	#	12/1/2040		18,091		19,066,546
Federal National Mortgage Assoc.	1.921%	#	7/1/2035		40,800		42,998,798
Federal National Mortgage Assoc.	1.924%	#	6/1/2038		9,544		10,151,911
Federal National Mortgage Assoc.	2.023%	#	2/1/2036		19,251		20,471,587
Federal National Mortgage Assoc.	2.025%	#	12/1/2035		35,523		37,701,129
Federal National Mortgage Assoc.	2.026%	#	10/1/2035		34,884		37,085,309
Federal National Mortgage Assoc.	2.069%	#	1/1/2036		67,074		71,269,392
Federal National Mortgage Assoc.	2.121%	#	3/1/2039		15,639		16,607,993
Federal National Mortgage Assoc.	2.122%	#	8/1/2034		25,532		27,193,382
Federal National Mortgage Assoc.(h)	2.129%	#	11/1/2036		14,714		15,660,831
Federal National Mortgage Assoc.	2.194%	#	8/1/2037		19,231		20,498,023
Federal National Mortgage Assoc.	2.206%	#	3/1/2038		21,458		22,859,807
Federal National Mortgage Assoc.	2.209%	#	9/1/2036		13,558		14,378,431
Federal National Mortgage Assoc.	2.211%	#	4/1/2038 – 9/1/2038		40,621		43,210,889
Federal National Mortgage Assoc.	2.217%	#	4/1/2038		45,719		48,613,529
Federal National Mortgage Assoc.	2.222%	#	12/1/2036		13,514		14,375,220
Federal National Mortgage Assoc.	2.232%	#	1/1/2038		12,167		12,949,397
Federal National Mortgage Assoc.	2.238%	#	8/1/2038		12,633		13,440,495
Federal National Mortgage Assoc.	2.245%	#	11/1/2038		39,546		42,070,864
Federal National Mortgage Assoc.	2.306%	#	10/1/2036		23,480		24,985,568
Federal National Mortgage Assoc.	2.315%	#	7/1/2040		17,644		18,875,004
Federal National Mortgage Assoc.	2.346%	#	1/1/2038		11,675		12,493,651
Federal National Mortgage Assoc.	2.362%	#	11/1/2038		22,870		24,389,040
Federal National Mortgage Assoc.	2.378%	#	10/1/2036		14,558		15,550,935
Federal National Mortgage Assoc.	2.388%	#	3/1/2038		13,072		14,015,994
Federal National Mortgage Assoc.	2.489%	#	12/1/2038		11,167		11,972,417
Federal National Mortgage Assoc.	2.58%		11/1/2018		15,112		15,627,054
Federal National Mortgage Assoc.	2.898%	#	6/1/2042		25,062		25,993,307
Federal National Mortgage Assoc.	2.941%	#	5/1/2042		51,457		53,475,573
Federal National Mortgage Assoc.	3.324%	#	1/1/2041		42,648		45,208,598
Federal National Mortgage Assoc.	3.363%	#	12/1/2040		20,593		21,913,069
Federal National Mortgage Assoc.	3.412%	#	12/1/2040		37,672		40,162,513
Federal National Mortgage Assoc.	3.455%	#	10/1/2040		13,140		13,973,995
Federal National Mortgage Assoc.	3.473%	#	11/1/2040		58,352		62,333,244

See Notes to Financial Statements. 173

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued)
Federal National Mortgage Assoc.	3.704%	#	1/1/2042	$	35,754	$	37,654,699
Federal National Mortgage Assoc.	3.725%	#	1/1/2041		21,754		23,161,963
Federal National Mortgage Assoc.	3.981%	#	4/1/2040		15,566		16,670,155
Federal National Mortgage Assoc.	4.183%	#	7/1/2040		10,060		10,695,750
Federal National Mortgage Assoc.	5.50%		1/1/2035		2,169		2,466,125
Total Government Sponsored Enterprises Pass-Throughs (cost $1,591,797,346)							1,599,936,567
MUNICIPAL BONDS 0.31%
General Obligation 0.01%
IL State GO	4.35%		6/1/2018		3,765		3,887,325
Miscellaneous 0.07%
IL State GO	2.77%		4/1/2018		9,500		9,461,905
IL State GO	5.09%		4/1/2017		400		423,920
IL State GO	5.365%		3/1/2017		2,725		2,858,007
IL State GO	5.665%		3/1/2018		4,490		4,835,326
San Luis Opispo Cnty CA	7.45%		9/1/2019		6,450		7,682,144
Total							25,261,302
Nursing Home 0.18%
New Jersey Econ Dev Auth	Zero Coupon		2/15/2020		14,750		12,591,485
New Jersey Econ Dev Auth	1.096%		6/15/2016		10,560		10,538,669
New Jersey Econ Dev Auth	1.348%		3/1/2017		1,900		1,891,450
New Jersey Econ Dev Auth	1.802%		6/15/2017		2,450		2,438,117
New Jersey Econ Dev Auth	2.421%		6/15/2018		19,795		19,989,387
New Jersey Econ Dev Auth (AGM)	Zero Coupon		2/15/2019		13,255		11,684,813
New Jersey Econ Dev Auth (NPFGC)	Zero Coupon		2/15/2017		4,900		4,769,023
Total							63,902,944
Power 0.02%
Guam Pwr Auth	7.50%		10/1/2015		9,040		9,048,136
Transportation 0.03%
New Jersey Transp Tr Fnd Auth	1.087%		12/15/2016		2,550		2,544,211
New Jersey Transp Tr Fnd Auth	1.758%		12/15/2018		6,735		6,657,817
Total							9,202,028
Total Municipal Bonds (cost $111,744,639)							111,301,735

174 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 23.99%
A10 Securitization LLC 2015-A A†	2.232%	#	5/15/2030	$	60,290	$	60,290,000
Americold LLC Trust 2010-ARTA A1†	3.847%		1/14/2029		15,474		16,220,557
Aventura Mall Trust 2013-AVM A†	3.867%	#	12/5/2032		37,628		40,426,714
BAMLL Commercial Mortgage Securities Trust 2014-IP A†	2.717%	#	6/15/2028		208,496		214,502,457
BAMLL Commercial Mortgage Securities Trust 2014-IP B†	2.717%	#	6/15/2028		11,450		11,684,559
BAMLL Commercial Mortgage Securities Trust 2014-IP C†	2.717%	#	6/15/2028		23,040		23,367,871
BAMLL-DB Trust 2012-OSI A2FX†	3.352%		4/13/2029		30,134		30,945,135
Banc of America Commercial Mortgage Trust 2006-6 AM	5.39%		10/10/2045		138,657		145,977,951
Banc of America Commercial Mortgage Trust 2007-2 AM	5.623%	#	4/10/2049		118,198		125,555,661
Banc of America Commercial Mortgage Trust 2007-3 AM	5.576%	#	6/10/2049		45,215		48,562,493
Banc of America Commercial Mortgage Trust 2007-3 AMF	5.317%		6/10/2049		23,414		25,001,387
Banc of America Merrill Lynch Commercial Mortgage, Inc. 2005-6 KCA†	5.27%	#	9/10/2047		10,446		10,585,966
Banc of America Re-REMIC Trust 2009-UB1 A4B†	5.593%	#	6/24/2050		25,851		27,438,308
Banc of America Re-REMIC Trust 2009-UB2 A4B5†	6.032%	#	12/24/2049		7,504		7,845,127
Banc of America Re-REMIC Trust 2010-RC30 A5B†	5.334%		12/16/2043		23,312		24,273,983
Banc of America Re-REMIC Trust 2010-UB3 A4B3†	5.947%	#	2/15/2051		9,770		10,400,189
Banc of America Re-REMIC Trust 2010-UB5 A4B†	5.65%	#	2/17/2051		10,000		10,604,000
BB-UBS Trust 2012-TFT A†	2.892%		6/5/2030		5,100		5,098,391
BBCMS Trust 2015-VFM A1†	2.466%		3/15/2036		23,539		23,517,582
BCAP LLC Trust 2013-RR3 4A1†	0.341%	#	11/26/2036		9,013		8,698,716
BCAP LLC Trust 2014-RR1 5A1†	0.331%	#	5/26/2037		9,645		9,554,453
BCRR Trust 2009-1 1A2†	5.795%	#	8/17/2045		21,298		22,772,088
BCRR Trust 2009-1 2A2†	5.858%		7/17/2040		7,000		7,501,851
Bear Stearns Commercial Mortgage Securities Trust 2006-PW14 AAB	5.171%		12/11/2038		2,116		2,143,169
Bear Stearns Commercial Mortgage Securities Trust 2007-PW16 AM	5.706%	#	6/11/2040		29,308		31,578,948
Bear Stearns Commercial Mortgage Securities Trust 2007-PW17 AM	5.885%	#	6/11/2050		7,154		7,776,144
Bear Stearns Deutsche Bank Trust 2005-AFR1 A2†	5.008%		9/15/2027		5,994		6,579,231
Boca Hotel Portfolio Trust 2013-BOCA D†	3.236%	#	8/15/2026		26,640		26,627,519
Boca Hotel Portfolio Trust 2013-BOCA E†	3.936%	#	8/15/2026		30,000		30,006,570

See Notes to Financial Statements. 175

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
BWAY Mortgage Trust 2013-1515 XB IO†	0.403%	#	3/10/2033	$	103,040	$	3,745,195
Carefree Portfolio Trust 2014-CARE A†	1.506%	#	11/15/2019		56,278		56,538,708
Carefree Portfolio Trust 2014-CARE B†	2.036%	#	11/15/2019		19,350		19,481,696
CFCRE Commercial Mortgage Trust 2011-C1 A2†	3.759%		4/15/2044		21,178		21,470,568
CG-CCRE Commercial Mortgage Trust 2014-FL1 A†	1.136%	#	6/15/2031		17,783		17,768,782
CG-CCRE Commercial Mortgage Trust 2014-FL1 XCP IO†	1.466%	#	6/15/2031		267,750		2,204,975
CGBAM Commercial Mortgage Trust 2015-SMRT B†	3.213%		4/10/2028		20,376		20,930,625
CGBAM Commercial Mortgage Trust 2015-SMRT C†	3.516%		4/10/2028		15,195		15,614,017
Citigroup Commercial Mortgage Trust 2007-C6 AM	5.711%	#	12/10/2049		147,470		157,203,151
Citigroup Commercial Mortgage Trust 2009-RR1 CA4B†	5.322%		12/17/2049		7,746		8,125,945
Citigroup Commercial Mortgage Trust 2010-RR2 CA3B†	5.311%		12/19/2039		13,350		13,914,905
Citigroup Commercial Mortgage Trust 2012-GC8 XB IO†	0.166%	#	9/10/2045		218,445		2,575,461
Citigroup Commercial Mortgage Trust 2013-GC11 A2	1.987%		4/10/2046		59,515		60,258,223
Citigroup Commercial Mortgage Trust 2013-GC11 XA IO	1.88%	#	4/10/2046		708,400		57,516,385
Citigroup Commercial Mortgage Trust 2013-GC15 A2	3.161%		9/10/2046		19,400		20,325,952
Citigroup Commercial Mortgage Trust 2013-SMP C†	2.738%		1/12/2030		8,100		8,259,598
Citigroup Commercial Mortgage Trust 2013-SMP D†	2.911%	#	1/12/2030		8,600		8,742,519
Citigroup Commercial Mortgage Trust 2014-388G B†	1.236%	#	6/15/2033		25,448		25,394,407
Citigroup Commercial Mortgage Trust 2014-388G C†	1.586%	#	6/15/2033		16,250		16,285,336
Citigroup Commercial Mortgage Trust 2014-388G XCP IO†	0.643%	#	6/15/2033		753,631		3,707,865
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO	1.321%	#	5/10/2047		273,412		23,404,314
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO	0.227%	#	7/10/2047		120,131		2,435,656
Citigroup Commercial Mortgage Trust 2015-GC27 XA IO	1.452%	#	2/10/2048		128,736		13,402,376

176 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Citigroup Mortgage Loan Trust 2013-2 2A1†	0.291%	#	10/25/2036	$	17,334	$	16,791,641
Citigroup Mortgage Loan Trust 2013-2 5A1†	0.321%	#	7/25/2036		11,251		10,666,777
Citigroup Mortgage Loan Trust 2013-3 1A1†	0.802%	#	7/25/2036		10,925		10,535,931
Citigroup Mortgage Loan Trust 2013-A A†	3.00%		5/25/2042		8,921		9,032,463
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A3	5.293%		12/11/2049		2,263		2,281,055
COBALT CMBS Commercial Mortgage Trust 2007-C2 AM†	5.461%		4/15/2047		19,780		21,036,376
COBALT CMBS Commercial Mortgage Trust 2007-C2 AMFX	5.526%		4/15/2047		84,035		89,544,923
Commercial Mortgage Pass-Through Certificates 2007-C9 AM	5.65%		12/10/2049		11,440		12,328,322
Commercial Mortgage Pass-Through Certificates 2010-C1 A1†	3.156%		7/10/2046		35,429		35,558,471
Commercial Mortgage Pass-Through Certificates 2010-C1 C†	5.752%	#	7/10/2046		3,711		4,282,587
Commercial Mortgage Pass-Through Certificates 2010-RR1 GEA†	5.543%		12/11/2049		4,900		5,072,715
Commercial Mortgage Pass-Through Certificates 2012-9W57 A†	2.365%		2/10/2029		22,805		23,274,977
Commercial Mortgage Pass-Through Certificates 2012-9W57 X IO†	1.399%	#	2/10/2029		525,000		10,974,338
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO	1.953%	#	10/15/2045		274,089		26,822,241
Commercial Mortgage Pass-Through Certificates 2012-LC4 XA IO†	2.408%	#	12/10/2044		88,038		9,578,412
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1†	2.15%		10/5/2030		33,956		33,783,358
Commercial Mortgage Pass-Through Certificates 2012-MVP A†	2.122%	#	11/17/2026		3,310		3,310,335
Commercial Mortgage Pass-Through Certificates 2012-MVP B†	1.783%	#	11/17/2026		30,343		30,342,788
Commercial Mortgage Pass-Through Certificates 2012-MVP C†	2.333%	#	11/17/2026		22,003		22,004,056
Commercial Mortgage Pass-Through Certificates 2012-MVP D†	3.183%	#	11/17/2026		23,700		23,781,564
Commercial Mortgage Pass-Through Certificates 2013-CR11 A2	3.047%		10/10/2046		25,000		26,165,763
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2	2.122%		3/10/2046		115,710		117,766,630
Commercial Mortgage Pass-Through Certificates 2013-CR7 A2	2.022%		3/10/2046		50,705		51,438,388

See Notes to Financial Statements. 177

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO	1.526%	#	3/10/2046	$	338,192	$	25,921,558
Commercial Mortgage Pass-Through Certificates 2013-CR8 A2	2.367%		6/10/2046		10,000		10,207,390
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO	0.728%	#	6/10/2046		609,956		21,002,000
Commercial Mortgage Pass-Through Certificates 2013-GAM A2†	3.367%		2/10/2028		12,000		12,404,832
Commercial Mortgage Pass-Through Certificates 2013-LC6 A2	1.906%		1/10/2046		72,383		73,223,801
Commercial Mortgage Pass-Through Certificates 2013-SFS A1†	1.873%		4/12/2035		21,132		20,900,906
Commercial Mortgage Pass-Through Certificates 2013-THL B†	1.781%	#	6/8/2030		14,775		14,781,656
Commercial Mortgage Pass-Through Certificates 2013-THL C†	2.181%	#	6/8/2030		29,195		29,231,640
Commercial Mortgage Pass-Through Certificates 2013-THL D†	2.831%	#	6/8/2030		13,437		13,452,110
Commercial Mortgage Pass-Through Certificates 2013-WWP XB IO†	0.256%	#	3/10/2031		265,903		5,583,697
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO	1.31%	#	8/10/2047		117,873		9,051,756
Commercial Mortgage Pass-Through Certificates 2014-CR21 XA IO	1.023%	#	12/10/2047		140,527		9,600,051
Commercial Mortgage Pass-Through Certificates 2014-FL4 C†	2.13%	#	7/13/2031		16,487		16,391,985
Commercial Mortgage Pass-Through Certificates 2014-FL4 XCP IO†	0.224%	#	9/13/2015		108,495		132,581
Commercial Mortgage Pass-Through Certificates 2014-KYO A†	1.082%	#	6/11/2027		37,500		37,472,175
Commercial Mortgage Pass-Through Certificates 2014-KYO B†	1.482%	#	6/11/2027		20,050		20,030,963
Commercial Mortgage Pass-Through Certificates 2014-KYO C†	1.832%	#	6/11/2027		16,297		16,281,746
Commercial Mortgage Pass-Through Certificates 2014-LC17 XA IO	1.029%	#	10/10/2047		159,133		9,229,486
Commercial Mortgage Pass-Through Certificates 2014-SAVA A†	1.336%	#	6/15/2034		23,704		23,673,422
Commercial Mortgage Pass-Through Certificates 2014-SAVA B†	1.936%	#	6/15/2034		19,574		19,552,694
Commercial Mortgage Pass-Through Certificates 2014-SAVA C†	2.586%	#	6/15/2034		29,459		29,487,590

178 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Commercial Mortgage Pass-Through Certificates 2014-SAVA XCP IO†	3.386%	#	6/15/2034	$	418,428	$	14,955,446
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A2	2.844%		6/10/2047		13,000		13,483,353
Commercial Mortgage Pass-Through Certificates 2014-UBS5 XA IO	1.108%	#	9/10/2047		269,102		17,638,962
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC†	3.807%		5/10/2048		6,900		6,881,044
Commercial Mortgage Trust 2006-GG7 AM	5.819%	#	7/10/2038		78,860		82,107,791
Core Industrial Trust 2015-CALW XA IO†	0.81%	#	2/10/2034		99,819		4,804,628
Core Industrial Trust 2015-WEST XA IO†	0.935%	#	2/10/2037		183,565		14,276,768
Core Industrial Trust 2015-WEST XB IO†	0.703%	#	2/10/2037		90,323		5,408,993
Credit Suisse Commercial Mortgage Trust 2006-C4 AM	5.509%		9/15/2039		78,007		81,848,486
Credit Suisse Commercial Mortgage Trust 2006-C5 AM	5.343%		12/15/2039		33,500		35,288,060
Credit Suisse Commercial Mortgage Trust 2008-C1 AM†	5.97%	#	2/15/2041		31,550		34,651,050
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA A†	5.384%		5/15/2023		2,600		2,787,435
Credit Suisse Mortgage Capital Certificates 2010-RR2 2B†	5.949%	#	9/15/2039		11,500		12,330,300
Credit Suisse Mortgage Capital Certificates 2010-RR6 B†	5.678%	#	4/12/2049		8,883		8,873,215
Credit Suisse Mortgage Capital Certificates 2010-UD1 BA†	5.775%	#	12/16/2049		21,825		23,210,570
Credit Suisse Mortgage Capital Certificates 2011-2R 4A1†	0.291%	#	2/27/2037		8,545		7,723,099
Credit Suisse Mortgage Capital Certificates 2012-7R 2A1†	3.573%	#	6/26/2036		10,291		10,638,248
Credit Suisse Mortgage Capital Certificates 2013-7R 2A1†	0.336%	#	8/26/2037		6,686		6,607,466
Credit Suisse Mortgage Capital Certificates 2014-2R 22A1†	3.00%		7/27/2036		5,278		5,144,295
Credit Suisse Mortgage Capital Certificates 2014-2R 26A1†	3.00%		6/27/2037		34,001		33,428,638
Credit Suisse Mortgage Capital Certificates 2014-ICE X1CP IO†	1.686%	#	4/15/2027		93,798		1,406,536
Credit Suisse Mortgage Capital Certificates 2014-RS1 MRA†	0.505%	#	11/22/2046		91,269		85,793,238
Credit Suisse Mortgage Capital Certificates 2014-TIKI C†	1.99%	#	9/15/2038		29,782		29,685,506

See Notes to Financial Statements. 179

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Credit Suisse Mortgage Capital Certificates 2014-USA X1 IO†	0.552%	#	9/15/2037	$	115,519	$	5,423,765
Credit Suisse Mortgage Capital Certificates 2015-DEAL A†	1.506%	#	4/15/2029		9,507		9,598,495
Credit Suisse Mortgage Capital Certificates 2015-DEAL B†	2.036%	#	4/15/2029		14,260		14,397,265
Credit Suisse Mortgage Capital Certificates 2015-TOWN A†	1.432%	#	3/15/2017		7,000		7,018,260
DBRR Trust 2013-EZ2 A†	0.853%		2/25/2045		781		780,764
DBRR Trust 2013-EZ3 B†	3.50%		12/18/2049		14,771		15,103,348
DBUBS Mortgage Trust 2011-LC1A A1†	3.742%		11/10/2046		89,844		91,052,147
DBUBS Mortgage Trust 2011-LC2A A1†	3.527%		7/10/2044		22,921		24,113,788
DBUBS Mortgage Trust 2011-LC2A A2†	3.386%		7/10/2044		16,023		16,359,156
DBUBS Mortgage Trust 2011-LC2A D†	5.458%	#	7/10/2044		8,790		9,595,578
DBUBS Mortgage Trust 2011-LC3A A3	4.638%		8/10/2044		2,700		2,924,163
Del Coronado Trust 2013 HDC A†	0.986%	#	3/15/2026		9,200		9,212,599
Del Coronado Trust 2013 HDC B†	1.486%	#	3/15/2026		21,300		21,310,586
Del Coronado Trust 2013 HDC C†	1.786%	#	3/15/2026		12,500		12,508,706
Del Coronado Trust 2013 HDC E†	2.836%	#	3/15/2026		10,500		10,512,868
EQTY Mortgage Trust 2014-INNS C†	1.781%	#	5/8/2031		4,150		4,124,992
Extended Stay America Trust 2013-ESFL BFL†	1.281%	#	12/5/2031		7,500		7,493,944
Extended Stay America Trust 2013-ESFL CFL†	1.681%	#	12/5/2031		10,825		10,829,476
Extended Stay America Trust 2013-ESFL DFL†	3.321%	#	12/5/2031		4,870		4,876,728
Extended Stay America Trust 2013-ESH5 A15†	1.278%		12/5/2031		21,095		20,964,211
Extended Stay America Trust 2013-ESH5 B5†	2.278%		12/5/2031		24,300		24,285,857
Extended Stay America Trust 2013-ESH7 A17†	2.295%		12/5/2031		21,420		21,289,338
Extended Stay America Trust 2013-ESH7 B7†	3.604%		12/5/2031		56,185		57,289,429
Extended Stay America Trust 2013-ESH7 C7†	3.902%		12/5/2031		63,963		65,377,478
Extended Stay America Trust 2013-ESH7 D7†	4.036%	#	12/5/2031		25,115		25,971,698
Fosse Master Issuer plc 2012-1A 2B1 (United Kingdom)†(b)	2.225%	#	10/18/2054		18,150		18,237,283
GAHR Commericial Mortgage Trust 2015-NRF EFX†	3.382%	#	12/15/2019		3,000		2,854,623
GRACE Mortgage Trust 2014-GRCE B†	3.52%		6/10/2028		4,450		4,637,728
Granite Master Issuer plc 2005-1 A4 (United Kingdom)(b)	0.384%	#	12/20/2054		13,493		13,429,152
Granite Master Issuer plc 2005-2 A6 (United Kingdom)(b)	0.444%	#	12/20/2054		5,502		5,492,293
Granite Master Issuer plc 2006-3 A7 (United Kingdom)(b)	0.384%	#	12/20/2054		4,245		4,225,181

180 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date		(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Granite Master Issuer plc 2007-1 3A1 (United Kingdom)(b)	0.384%	#	12/20/2054	$	4,287	$	4,266,902
GS Mortgage Securities Corp. II 2012-GCJ9 XA IO	2.348%	#	11/10/2045		120,254		13,443,721
GS Mortgage Securities Corp. II 2012-GCJ9 XB IO†	0.403%	#	11/10/2045		93,111		2,460,132
GS Mortgage Securities Corp. II 2013-KING A†	2.706%		12/10/2027		23,037		23,465,003
GS Mortgage Securities Corp. II 2013-KING B†	3.241%		12/10/2027		19,505		20,300,316
GS Mortgage Securities Corp. II 2013-KING C†	3.435%	#	12/10/2027		17,800		18,327,467
GS Mortgage Securities Corp. Trust 2012-SHOP A†	2.933%		6/5/2031		6,680		6,921,208
GS Mortgage Securities Corp. Trust 2012-SHOP B†	3.311%		6/5/2031		25,715		26,792,291
GS Mortgage Securities Corp. Trust 2012-SHOP C†	3.633%		6/5/2031		35,200		36,713,336
GS Mortgage Securities Corp. Trust 2012-SHOP D†	4.182%		6/5/2031		13,750		14,446,582
GS Mortgage Securities Corp. Trust 2013-NYC5 A†	2.318%		1/10/2030		40,000		40,720,360
GS Mortgage Securities Corp. Trust 2014-NEW B†	3.79%		1/10/2031		12,370		12,836,906
GS Mortgage Securities Trust 2006-GG8 AM	5.591%		11/10/2039		52,344		55,072,117
GS Mortgage Securities Trust 2009-RR1 MLB†	5.147%		12/14/2049		15,553		16,345,503
GS Mortgage Securities Trust 2010-C1 D†	6.036%	#	8/10/2043		2,209		2,434,483
GS Mortgage Securities Trust 2010-C2 A1†	3.849%		12/10/2043		42,567		43,352,269
GS Mortgage Securities Trust 2012-GC6 XA IO†	2.104%	#	1/10/2045		210,102		21,074,064
GS Mortgage Securities Trust 2013-G1 A1†	2.059%		4/10/2031		19,879		19,910,577
GS Mortgage Securities Trust 2013-GC12 A2	2.011%		6/10/2046		99,161		100,409,487
GS Mortgage Securities Trust 2013-GC12 XA IO	1.758%	#	6/10/2046		585,724		51,626,853
GS Mortgage Securities Trust 2013-GC14 A1	1.217%		8/10/2046		174		174,444
GS Mortgage Securities Trust 2014-GC26 XA IO	1.112%	#	11/10/2047		106,418		8,184,654
H/2 Asset Funding 2014-1 Ltd.	2.101%		3/19/2037		91,280		90,085,501
HILT Mortgage Trust 2014-ORL B†	1.386%	#	7/15/2029		7,600		7,551,550
HILT Mortgage Trust 2014-ORL C†	1.786%	#	7/15/2029		9,550		9,442,629
HILT Mortgage Trust 2014-ORL XCP IO†	1.104%	#	7/15/2029		7,557		53,338
Irvine Core Office Trust 2013-IRV A1†	2.068%		5/15/2048		58,448		58,625,052
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AM	5.466%		6/12/2047		23,675		25,095,879
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AMFX	5.40%		6/12/2047		16,735		17,727,929
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19 AM	5.697%	#	2/12/2049		14,309		15,236,767
JPMorgan Chase Commercial Mortgage Securities Trust 2009-IWST C†	7.693%	#	12/5/2027		4,730		5,727,890
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C1 A2†	4.608%		6/15/2043		9,835		10,419,858
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 B†	5.075%		11/15/2043		1,500		1,662,775

See Notes to Financial Statements. 181

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date		(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust 2011-PLSD C†	5.143%		11/13/2028	$	4,125	$	4,326,308
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 A1	0.73%		12/15/2047		58		57,670
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO	1.288%	#	12/15/2047		422,386		28,242,612
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 A2	2.424%		7/15/2045		95,054		97,514,188
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO	0.882%	#	7/15/2045		215,044		8,123,298
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C13 A2	2.665%		1/15/2046		35,500		36,639,266
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 A1	0.766%		4/15/2046		156		155,486
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO	1.564%	#	4/15/2046		143,102		11,859,087
JPMorgan Chase Commercial Mortgage Securities Trust 2014-BXH A†	1.086%	#	4/15/2027		19,385		19,396,059
JPMorgan Chase Commercial Mortgage Securities Trust 2014-BXH B†	1.436%	#	4/15/2027		14,300		14,300,036
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2	3.046%		4/15/2047		27,558		28,805,620
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO	1.279%	#	4/15/2047		129,575		6,971,834
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO	0.283%	#	4/15/2047		34,361		911,683
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO	1.089%	#	11/15/2047		122,240		8,046,843
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C25 XA IO	1.016%	#	11/15/2047		211,466		14,387,187
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C26 XA IO	1.187%	#	1/15/2048		209,210		15,409,277
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A†	3.429%		6/10/2027		122,639		127,677,255
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY B†	3.771%		6/10/2027		18,837		19,544,565
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY C†	3.805%	#	6/10/2027		13,129		13,303,898
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D†	3.805%	#	6/10/2027		5,000		4,887,998
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO†	0.376%	#	6/10/2027		102,274		1,621,391

182 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO†	0.034%	#	6/10/2027	$	45,476	$	148,306
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 C†	2.386%	#	12/15/2030		9,750		9,763,743
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 D†	3.286%	#	12/15/2030		19,000		18,924,627
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL5 C†	2.286%	#	7/15/2031		10,400		10,390,068
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN A†	1.106%	#	6/15/2029		37,625		37,555,036
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN C†	1.886%	#	6/15/2029		8,650		8,621,658
JPMorgan Chase Commercial Mortgage Securities Trust 2014-INN XCP IO†	0.09%	#	12/15/2015		358,000		176,888
JPMorgan Chase Commercial Mortgage-Backed Securities Trust 2009-RR1 A4B†	5.641%	#	3/18/2051		51,570		55,777,390
JPMorgan Chase Commercial Mortgage-Backed Securities Trust 2010-RR1 JPB†	5.774%	#	6/18/2049		18,100		19,186,009
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD A†	2.857%	#	11/14/2027		190,968		196,238,048
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B†	2.857%	#	11/14/2027		16,023		16,335,945
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD MRC†	2.857%	#	11/14/2027		12,889		13,219,712
LB-UBS Commercial Mortgage Trust 2006-C4 AM	5.852%	#	6/15/2038		72,999		76,387,906
LB-UBS Commercial Mortgage Trust 2006-C7 AM	5.378%		11/15/2038		61,361		64,368,246
LB-UBS Commercial Mortgage Trust 2007-C1 AM	5.455%		2/15/2040		124,616		132,136,377
LMREC, Inc. 2015-CRE1 A†	1.931%	#	2/22/2032		48,655		48,855,751
LMREC, Inc. 2015-CRE1 B†	3.682%	#	2/22/2032		3,900		3,911,704
LSTAR Commercial Mortgage Trust 2014-2 A1†	1.519%		1/20/2041		6,540		6,546,275
LSTAR Commercial Mortgage Trust 2014-2 XA IO†	1.00%	#	1/20/2041		119,181		3,853,826
MASTR Asset Securitization Trust 2006-3 1A3	6.00%		10/25/2036		7,107		6,990,261
MASTR Asset Securitization Trust 2006-3 1A8	6.00%		10/25/2036		7,389		7,267,308
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 AM	5.204%		12/12/2049		41,048		43,266,193
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-5 AM	5.419%		8/12/2048		170,262		179,226,039
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1†	2.117%		10/15/2030		23,255		23,131,049
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 A2	2.964%		7/15/2046		27,620		28,710,493

See Notes to Financial Statements. 183

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 A2	3.001%		10/15/2046	$	55,000	$	57,351,415
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 A2	1.97%		5/15/2046		80,000		80,992,240
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XA IO	1.432%	#	5/15/2046		291,354		19,570,375
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XB IO†	0.334%	#	5/15/2046		119,710		2,939,838
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 XA IO	1.167%	#	12/15/2047		171,142		12,386,369
Morgan Stanley Capital I Trust 2007-HQ12 AM	5.678%	#	4/12/2049		77,035		81,866,096
Morgan Stanley Capital I Trust 2007-IQ15 AM	5.907%	#	6/11/2049		60,273		64,454,379
Morgan Stanley Capital I Trust 2012-C4 XA IO†	2.622%	#	3/15/2045		285,640		26,771,012
Morgan Stanley Capital I Trust 2012-STAR A1†	2.084%		8/5/2034		35,456		35,396,280
Morgan Stanley Capital I Trust 2014-CPT XA IO†	0.089%	#	7/13/2029		260,000		1,849,302
Morgan Stanley Re-REMIC Trust 2009-GG10 A4B†	5.795%	#	8/12/2045		95,905		102,582,050
Morgan Stanley Re-REMIC Trust 2010-GG10 A4B†	5.795%	#	8/15/2045		78,802		84,184,984
Morgan Stanley Re-REMIC Trust 2010-R3 3B†	0.421%	#	6/26/2036		1,821		1,819,356
Morgan Stanley Re-REMIC Trust 2012-IO AXA†	1.00%		3/27/2051		44,350		44,294,709
Motel 6 Trust 2015-MTL6 A2†	2.605%		2/5/2030		58,931		59,437,659
Motel 6 Trust 2015-MTL6 B†	3.298%		2/5/2030		24,382		24,637,231
Motel 6 Trust 2015-MTL6 C†	3.644%		2/5/2030		24,382		24,682,728
Motel 6 Trust 2015-MTL6 D†	4.532%		2/5/2030		18,920		19,229,739
MSCG Trust 2015-ALDR A1†	2.612%		6/7/2035		13,303		13,390,407
NLY Commercial Mortgage Trust 2014-FL1 A†	1.386%	#	11/15/2030		8,670		8,666,578
NLY Commercial Mortgage Trust 2014-FL1 B†	1.936%	#	11/15/2030		13,971		13,978,188
NLY Commercial Mortgage Trust 2014-FL1 C†	2.786%	#	11/15/2030		4,000		4,003,304
NLY Commercial Mortgage Trust 2014-FL1 D†	3.986%	#	11/15/2030		5,000		5,027,965
NorthStar Real Estate CDO Ltd. 2013 -1A†	2.031%	#	8/25/2029		25,156		25,486,178
NorthStar Real Estate CDO Ltd. 2013 -1B†	5.181%	#	8/25/2029		51,750		52,655,677
PFP III Ltd. 2014-1 AS†	1.836%	#	6/14/2031		13,335		13,319,838
PFP III Ltd. 2014-1 B†	2.536%	#	6/14/2031		6,500		6,495,837
PFP III Ltd. 2014-1 C†	3.086%	#	6/14/2031		29,786		29,791,004
Prima Capital Ltd.	2.214%		5/24/2021		69,337		69,153,467
Prima Capital Ltd.	2.55%		8/24/2049		144,461		144,822,153
RAIT Trust 2013-FL1 A†	1.936%	#	1/15/2029		20,486		20,524,001
RAIT Trust 2013-FL1 B†	3.377%	#	1/15/2029		7,931		7,946,280
RAIT Trust 2014-FL2 B†	2.33%	#	5/13/2031		6,695		6,636,757
RBSCF Trust 2009-RR2 CWB†	5.223%		8/16/2048		14,900		15,446,674

184 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
RBSCF Trust 2010-RR3 MSCB†	5.907%	#	6/16/2049	$	2,380	$	2,568,156
RBSCF Trust 2010-RR3 WBTB†	5.951%	#	2/16/2051		22,942		24,422,138
RBSSP Resecuritization Trust 2013-1 3A1†	0.291%	#	1/26/2037		3,218		3,140,391
RBSSP Resecuritization Trust 2013-3 1A1	0.341%	#	11/26/2036		9,264		8,877,908
RBSSP Resecuritization Trust 2013-3 2A1†	0.341%	#	11/26/2036		9,888		9,177,931
RCMC LLC 2012-CRE1 A†	5.624%		11/15/2044		20,393		20,877,902
ReadyCap Commercial Mortgage Trust 2014-1A A†	3.01%		6/25/2055		45,315		45,695,475
Resource Capital Corp. Ltd. 2014-CRE2 A†	1.236%	#	4/15/2032		16,050		15,986,715
RREF LLC 2013-LT3	2.50%		6/20/2028		1,568		1,568,466
Selkirk Ltd. 1 A†	1.329%		2/20/2041		25,908		25,815,003
Selkirk Ltd. 2 A†	1.183%		2/20/2041		3,296		3,298,860
Selkirk Ltd. 3 A†	1.86%		12/20/2041		74,516		74,979,812
Sequoia Mortgage Trust 2012-4 A2	3.00%		9/25/2042		7,152		7,084,043
Springleaf Mortgage Loan Trust 2012-3A A†	1.57%		12/25/2059		17,186		17,268,014
Springleaf Mortgage Loan Trust 2013-1A A†	1.27%		6/25/2058		34,779		34,822,517
Structured Asset Securities Corp. 2005-14 2A1	5.75%		7/25/2035		3,915		3,937,546
Structured Asset Securities Corp. 2006-3H 1A2	5.75%		12/25/2035		14,479		14,514,926
Structured Asset Securities Corp. 2006-3H 1A3	5.75%		12/25/2035		8,815		8,869,432
TimberStar Trust 1 2006-1A A†	5.668%		10/15/2036		66,428		69,972,532
UBS-Barclays Commercial Mortgage Trust 2012-C2 XA IO†	1.739%	#	5/10/2063		119,383		8,678,991
UBS-Barclays Commercial Mortgage Trust 2012-C3 A2	1.852%		8/10/2049		15,000		15,185,895
UBS-Barclays Commercial Mortgage Trust 2013-C5 XA IO†	1.107%	#	3/10/2046		393,617		24,912,987
UBS-Barclays Commercial Mortgage Trust 2013-C6 A2	2.067%		4/10/2046		30,560		31,034,062
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO†	1.325%	#	4/10/2046		462,739		34,342,624
Vornado DP LLC Trust 2010-VNO A1†	2.97%		9/13/2028		20,390		21,180,631
Vornado DP LLC Trust 2010-VNO A2FX†	4.004%		9/13/2028		9,887		10,761,901
Vornado DP LLC Trust 2010-VNO C†	5.28%		9/13/2028		6,120		6,913,372
Vornado DP LLC Trust 2010-VNO D†	6.356%		9/13/2028		3,500		4,093,625
Wachovia Bank Commercial Mortgage Trust 2005-C21 D	5.252%	#	10/15/2044		10,650		10,725,817
Wachovia Bank Commercial Mortgage Trust 2005-C22 AM	5.317%	#	12/15/2044		8,100		8,210,265
Wachovia Bank Commercial Mortgage Trust 2006-C27 AM	5.795%		7/15/2045		53,933		56,455,608

See Notes to Financial Statements. 185

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Wachovia Bank Commercial Mortgage Trust 2006-C28 AM	5.603%		10/15/2048	$	22,392	$	23,593,846
Wachovia Bank Commercial Mortgage Trust 2006-C29 AM	5.339%		11/15/2048		41,556		43,847,980
Wachovia Bank Commercial Mortgage Trust 2006-WL7A G†	0.546%	#	9/15/2021		886		873,443
Wachovia Bank Commercial Mortgage Trust 2006-WL7A H†	0.586%	#	9/15/2021		30,806		30,126,820
Wachovia Bank Commercial Mortgage Trust 2007-C30 AM	5.383%		12/15/2043		69,190		73,202,536
Wachovia Bank Commercial Mortgage Trust 2007-C30 AMFL†	0.386%	#	12/15/2043		50,000		48,415,050
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM	5.591%		4/15/2047		209,133		222,930,331
WaMu Mortgage Pass-Through Certificates Trust 2005-AR18 1A1	2.353%	#	1/25/2036		7,942		7,624,451
Wells Fargo Mortgage Backed Securities Trust 2005-3 A4	5.50%		5/25/2035		4,296		4,449,953
Wells Fargo Resecuritization Trust 2012-IO A†	1.75%		8/20/2021		9,046		9,045,502
WF-RBS Commercial Mortgage Trust 2011-C2 A2†	3.791%		2/15/2044		41,935		42,269,893
WF-RBS Commercial Mortgage Trust 2011-C2 A3†	4.498%		2/15/2044		29,050		31,299,777
WF-RBS Commercial Mortgage Trust 2011-C3 A2†	3.24%		3/15/2044		9,969		10,119,602
WF-RBS Commercial Mortgage Trust 2011-C4 A2†	3.454%		6/15/2044		12,093		12,319,758
WF-RBS Commercial Mortgage Trust 2011-C4 A3†	4.394%		6/15/2044		660		713,200
WF-RBS Commercial Mortgage Trust 2011-C5 A3	3.526%		11/15/2044		17,650		18,663,013
WF-RBS Commercial Mortgage Trust 2012-C10 XA IO†	1.78%	#	12/15/2045		67,543		6,295,905
WF-RBS Commercial Mortgage Trust 2012-C7 A1	2.30%		6/15/2045		24,112		24,382,645
WF-RBS Commercial Mortgage Trust 2012-C7 XA IO†	1.564%	#	6/15/2045		384,335		31,611,776
WF-RBS Commercial Mortgage Trust 2012-C8 A2	1.881%		8/15/2045		23,464		23,711,076
WF-RBS Commercial Mortgage Trust 2012-C8 XA IO†	2.186%	#	8/15/2045		71,400		6,903,207

186 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
WF-RBS Commercial Mortgage Trust 2013-C11 A2	2.029%		3/15/2045	$	55,000	$	55,867,955
WF-RBS Commercial Mortgage Trust 2013-C13 A2	1.964%		5/15/2045		28,000		28,365,512
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO†	1.444%	#	5/15/2045		315,894		24,597,915
WF-RBS Commercial Mortgage Trust 2013-C16 A2	3.223%		9/15/2046		35,085		36,830,268
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO	1.228%	#	5/15/2047		259,410		18,823,282
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO	0.573%	#	5/15/2047		50,603		2,488,958
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO	0.608%	#	8/15/2047		77,369		4,120,917
WF-RBS Commercial Mortgage Trust 2014-C22 XA IO	0.963%	#	9/15/2057		100,342		6,368,593
WF-RBS Commercial Mortgage Trust 2014-C22 XB IO	0.453%	#	9/15/2057		37,769		1,405,728
WFCG Commercial Mortgage Trust 2015-BXRP C†	1.954%	#	11/15/2029		5,000		5,010,140
WFCG Commercial Mortgage Trust 2015-BXRP D†	2.753%	#	11/15/2029		4,000		4,010,364
Total Non-Agency Commercial Mortgage-Backed Securities (cost $8,669,522,158)							8,610,627,128
U.S. TREASURY OBLIGATION 2.99%
U.S. Treasury Note (cost $1,074,100,160)	2.125%		12/31/2015		1,062,545		1,074,747,267
Total Long-Term Investments (cost $34,778,661,638)							34,737,930,458
SHORT-TERM INVESTMENTS 2.79%
COMMERCIAL PAPER 0.81%
Supermarkets 0.23%
Tesco Treasury Services plc	Zero Coupon		8/18/2015		67,500		67,124,261
Tesco Treasury Services plc	Zero Coupon		8/18/2015		14,350		14,270,121
Total							81,394,382
Telecommunications 0.26%
Vodafone Group plc	Zero Coupon		4/11/2016		48,750		48,325,403
Vodafone Group plc	Zero Coupon		4/11/2016		47,500		47,086,291
Total							95,411,694

See Notes to Financial Statements. 187

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date		(000)		Value
Utilities: Miscellaneous 0.32%
Enable Midstream Partners LP	Zero Coupon	6/10/2015	$	46,750	$	46,733,053
Enable Midstream Partners LP	Zero Coupon	6/15/2015		46,500		46,477,396
Enable Midstream Partners LP	Zero Coupon	7/15/2015		22,500		22,460,125
Total						115,670,574
Total Commercial Paper (cost $292,812,658)						292,476,650
CORPORATE BONDS 1.13%
Automotive 0.02%
Ford Motor Credit Co. LLC	5.625%	9/15/2015		4,270		4,328,930
Hyundai Capital America†	1.625%	10/2/2015		4,680		4,691,340
Total						9,020,270
Banks: Money Center 0.01%
US Bancorp	3.442%	2/1/2016		2,625		2,666,722
Banks: Regional 0.17%
Fifth Third Bancorp	3.625%	1/25/2016		5,950		6,056,285
Royal Bank of Scotland plc (The) (United Kingdom)(b)	3.95%	9/21/2015		55,190		55,720,045
Total						61,776,330
Beverages 0.01%
Beam Suntory, Inc.	5.375%	1/15/2016		2,216		2,276,049
Brokers 0.02%
Raymond James Financial, Inc.	4.25%	4/15/2016		8,719		8,971,162
Computer Service 0.03%
Computer Sciences Corp.	2.50%	9/15/2015		10,664		10,719,037
Computer Technology 0.02%
EQT Corp.	5.00%	10/1/2015		6,277		6,353,567
Diversified Materials & Processing 0.04%
Kilroy Realty LP	5.00%	11/3/2015		14,675		14,911,678
Electric: Power 0.04%
LG&E and KU Energy LLC	2.125%	11/15/2015		14,105		14,176,273
Electrical Equipment 0.02%
Xerox Corp.	6.40%	3/15/2016		7,575		7,905,914

188 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
Electronics: Semi-Conductors/Components 0.07%
Avnet, Inc.	6.00%	9/1/2015	$	24,461	$	24,749,126
Financial: Miscellaneous 0.09%
Bunge Ltd. Finance Corp.	4.10%	3/15/2016		30,363		31,004,844
Food 0.00%
ConAgra Foods, Inc.	1.35%	9/10/2015		909		909,649
Health Care Products 0.01%
Boston Scientific Corp.	6.25%	11/15/2015		5,350		5,488,137
Insurance 0.04%
Horace Mann Educators Corp.	6.05%	6/15/2015		6,400		6,409,434
Transatlantic Holdings, Inc.	5.75%	12/14/2015		9,410		9,628,227
Total						16,037,661
Leasing 0.03%
Penske Truck Leasing Co. LP/PTL Finance Corp.†	2.50%	3/15/2016		9,355		9,447,063
Leisure 0.03%
Carnival Corp.	1.20%	2/5/2016		10,555		10,581,440
Machinery: Agricultural 0.01%
BAT International Finance plc (United Kingdom)†(b)	1.40%	6/5/2015		2,190		2,190,090
Manufacturing 0.01%
Pentair Finance SA (Luxembourg)(b)	1.35%	12/1/2015		2,000		2,002,656
Media 0.01%
BSKYB Finance UK plc (United Kingdom)†(b)	5.625%	10/15/2015		350		356,075
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.	3.125%	2/15/2016		4,000		4,055,212
Total						4,411,287
Metals & Minerals: Miscellaneous 0.03%
Glencore Canada Corp. (Canada)(b)	5.375%	6/1/2015		1,950		1,950,000
Teck Resources Ltd. (Canada)(b)	5.375%	10/1/2015		9,791		9,918,391
Total						11,868,391
Milling: Fruits/Grain 0.00%
Ingredion, Inc.	3.20%	11/1/2015		1,180		1,189,933
Office Furniture & Business Equipment 0.01%
Xerox Corp.	7.20%	4/1/2016		1,763		1,853,343

See Notes to Financial Statements. 189

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

				Principal
	Interest		Maturity	Amount		Fair
Investments	Rate		Date	(000)		Value
Oil 0.11%
Marathon Petroleum Corp.	3.50%		3/1/2016	$	12,598	$	12,838,823
Noble Holding International Ltd.	3.05%		3/1/2016		26,506		26,734,111
Total							39,572,934
Oil: Crude Producers 0.12%
DCP Midstream LLC†	5.375%		10/15/2015		14,417		14,548,469
DCP Midstream Operating LP	3.25%		10/1/2015		4,450		4,451,580
Devon Energy Corp.	0.721%	#	12/15/2015		10,021		10,013,624
Florida Gas Transmission Co. LLC†	4.00%		7/15/2015		13,330		13,380,107
Total							42,393,780
Oil: Integrated Domestic 0.05%
Marathon Oil Corp.	0.90%		11/1/2015		17,085		17,081,207
Paper & Forest Products 0.05%
Domtar Corp. (Canada)(b)	7.125%		8/15/2015		3,625		3,663,266
International Paper Co.	5.25%		4/1/2016		5,240		5,425,627
Plum Creek Timberlands LP	5.875%		11/15/2015		9,211		9,413,872
Total							18,502,765
Real Estate Investment Trusts 0.06%
BioMed Realty LP	3.85%		4/15/2016		12,940		13,214,419
Regency Centers LP	5.25%		8/1/2015		7,840		7,896,879
Ventas Realty LP/Ventas Capital Corp.	3.125%		11/30/2015		315		318,445
Total							21,429,743
Telecommunications 0.01%
Telefonica Emisiones SAU (Spain)(b)	3.992%		2/16/2016		2,260		2,306,142
Tobacco 0.01%
Reynolds American, Inc.	1.05%		10/30/2015		3,110		3,112,755
Total Corporate Bonds (cost $404,973,652)							404,909,948
MUNICIPAL BONDS 0.01%
Miscellaneous 0.01%
McLennan Cnty Pub Fac Corp.	0.62%		6/1/2015		3,000		3,000,000
Nursing Home 0.00%
New Jersey Econ Dev Auth	Zero Coupon		2/15/2016		2,023		2,007,524
Total Municipal Bonds (cost $5,007,865)							5,007,524

190 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

			Principal
	Interest	Maturity	Amount		Fair
Investments	Rate	Date	(000)		Value
REPURCHASE AGREEMENT 0.84%
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $285,735,000 of U.S. Treasury Note at 1.375% due 2/29/2020; $7,280,000 of U.S. Treasury Note at 1.50% due 1/31/2019 and $12,640,000 of U.S. Treasury Note at 2.50% due 5/15/2024; value: $305,903,355; proceeds: $299,903,872 (cost $299,903,872)			$	299,904	$	299,903,872
Total Short-Term Investments (cost $1,002,698,047)						1,002,297,994
Total Investments in Securities 99.58% (cost $35,781,359,685)						35,740,228,452
Cash and Other Assets in Excess of Liabilities(i) 0.42%						150,758,546
Net Assets 100.00%					$	35,890,986,998

BRL	Brazilian real.
EUR	euro.
AGM	Assured Guaranty Municipal Corporation
IO	Interest Only.
NPFGC	National Public Finance Guarantee Corporation
PIK	Payment-in-kind.
†	Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers.
#	Variable rate security. The interest rate represents the rate in effect at May 31, 2015.
(a)	Securities purchased on a when-issued basis (See Note 2(i)).
(b)	Foreign security traded in U.S. dollars.
(c)	Defaulted security.
(d)	Investment in non-U.S. dollar denominated securities.
(e)	Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2015.
(f)	Interest rate to be determined.
(g)	Amount is less than $1,000.
(h)	Security has been fully/partially segregated to cover margin requirements for open futures contracts as of May 31, 2015.
(i)	Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on credit default swaps, forward foreign currency exchange contracts and futures contracts as follows:

See Notes to Financial Statements. 191

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward
Foreign					U.S. $
Currency					Cost on	U.S. $
Exchange	Transaction		Expiration	Foreign	Origination	Current	Unrealized
Contracts	Type	Counterparty	Date	Currency	Date	Value	Appreciation
euro	Sell	J.P. Morgan	8/13/2015	872,000	$    996,056	$    958,680	$  37,376
euro	Sell	Morgan Stanley	8/13/2015	7,244,000	8,054,765	7,964,078	90,687
euro	Sell	Morgan Stanley	8/13/2015	26,000,000	28,998,677	28,584,487	414,190
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts							$542,253

Forward
Foreign					U.S. $
Currency					Cost on	U.S. $
Exchange	Transaction		Expiration	Foreign	Origination	Current	Unrealized
Contracts	Type	Counterparty	Date	Currency	Date	Value	Depreciation
euro	Buy	Bank of America	8/13/2015	7,000,000	$7,925,155	$7,695,823	$(229,332)

Open Futures Contracts at May 31, 2015:

						Unrealized
Type	Expiration	Contracts	Position	Fair Value		Appreciation
U.S. 2-Year Treasury Note	September 2015	33,601	Long	$7,353,893,893		$7,604,835
						Unrealized
Type	Expiration	Contracts	Position	Fair Value		Depreciation
U.S. 5-Year Treasury Note	September 2015	448	Short	$(53,637,500	)	$(291,289)

192 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

Credit Default Swaps on Indexes – Sell Protection at May 31, 2015⁽¹⁾:

										Credit
										Default
										Swap
			Original	Current						Agreements
Referenced	Fund	Termination	Notional	Notional	Fair	Payments		Unrealized		Payable at
Index	Receives	Date	Amount	Amount	Value(2)	Upfront(3)		Appreciation		Fair Value(4)
Markit CMBX.NA.AAA.2(6)	.07%	3/15/2049	$24,000,000	$21,489,875	$23,958,749		$     560,319		$     519,068		$  41,251
Markit CMBX.NA.AAA.2(6)	.07%	3/15/2049	24,700,000	22,116,664	24,657,546		1,273,913		1,231,459		42,454
Markit CMBX.NA.AAA.2(6)	.07%	3/15/2049	25,000,000	22,385,287	24,957,030		598,301		555,331		42,970
Markit CMBX.NA.AAA.3(6)	.08%	12/13/2049	23,000,000	21,670,318	22,926,391		779,714		706,105		73,609
Markit CMBX.NA.AAA.3(6)	.08%	12/13/2049	23,000,000	21,670,318	22,926,391		799,937		726,328		73,609
Markit CMBX.NA.AAA.4(6)	.35%	2/17/2051	29,500,000	28,142,867	29,449,295		2,217,111		2,166,406		50,705
Markit CMBX.NA.AAA.2(7)	.07%	3/15/2049	23,400,000	21,083,501	23,359,780		1,207,213		1,166,993		40,220
Markit CMBX.NA.AAA.2(7)	.07%	3/15/2049	49,500,000	44,599,713	49,414,919		2,553,720		2,468,639		85,081
Markit CMBX.NA.AAA.3(7)	.08%	12/13/2049	9,900,000	8,919,943	9,868,316		733,597		701,913		31,684
Markit CMBX.NA.AAA.2(8)	.07%	3/15/2049	23,000,000	20,594,464	22,960,468		617,262		577,730		39,532
Markit CMBX.NA.AAA.3(8)	.08%	12/13/2049	14,800,000	13,944,379	14,752,634		1,172,971		1,125,605		47,366
Markit CMBX.NA.AAA.3(8)	.08%	12/13/2049	24,500,000	23,083,600	24,421,590		1,942,407		1,863,997		78,410
							$14,456,465		$13,809,574		$646,891

(1)	If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities.
(2)	Fair value serves as the indicator of the current status of payment/performance risk.
(3)	Upfront payments received are presented net of amortization (See Note 2(p)).
(4)	Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $13,809,574. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0.
(5)	Includes upfront payments received.
(6)	Swap Counterparty: Credit Suisse.
(7)	Swap Counterparty: Goldman Sachs.
(8)	Swap Counterparty: Morgan Stanley.

See Notes to Financial Statements. 193

Schedule of Investments (unaudited)(continued)

SHORT DURATION INCOME FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

Investment Type(2)(3)	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	5,244,352,952	$	—	$	5,244,352,952
Convertible Bonds		—		—		280,469		280,469
Corporate Bonds		—		15,745,003,263		—		15,745,003,263
Floating Rate Loans(4)
Aerospace/Defense		—		168,375,847		—		168,375,847
Air Transportation		—		6,621,839		—		6,621,839
Banks: Money Center		—		23,915,822		—		23,915,822
Chemicals		—		12,818,089		—		12,818,089
Consumer Products		—		5,025,000		—		5,025,000
Energy Equipment & Services		—		16,258,090		—		16,258,090
Financial Services		—		60,838,848		12,501,000		73,339,848
Food		—		53,671,498		—		53,671,498
Gaming		—		247,007,248		—		247,007,248
Health Care		—		328,283,932		104,090,548		432,374,480
Health Care Products		—		40,651,126		—		40,651,126
Leisure		—		2,919,289		—		2,919,289
Media		—		211,958,763		—		211,958,763
Metals & Minerals: Miscellaneous		—		14,048,292		—		14,048,292
Retail		—		22,929,105		—		22,929,105
Services		—		125,458,142		—		125,458,142
Technology		—		132,758,617		—		132,758,617
Telecommunications		—		170,618,721		—		170,618,721
Utilities		—		47,145,238		42,764,485		89,909,723
Foreign Bonds		—		21,980,233		—		21,980,233
Foreign Government Obligations		—		124,416,165		—		124,416,165
Government Sponsored Enterprises Collateralized Mortgage Obligations		—		759,535,088		—		759,535,088
Government Sponsored Enterprises Pass-Throughs		—		1,599,936,567		—		1,599,936,567
Municipal Bonds		—		116,309,259		—		116,309,259
Non-Agency Commercial Mortgage-Backed Securities		—		8,405,514,975		205,112,153		8,610,627,128
U.S. Treasury Obligation		—		1,074,747,267		—		1,074,747,267
Commercial Paper		—		292,476,650		—		292,476,650
Repurchase Agreement		—		299,903,872		—		299,903,872
Total	$	—	$	35,375,479,797	$	364,748,655	$	35,740,228,452

194 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

SHORT DURATION INCOME FUND May 31, 2015

Other Financial Instruments	Level 1			Level 2			Level 3		Total
Credit Default Swaps
Assets	$	—		$	—		$	—	$	—
Liabilities		—			(646,891	)		—		(646,891	)
Forward Foreign Currency Exchange Contracts
Assets		—			542,253			—		542,253
Liabilities		—			(229,332	)		—		(229,332	)
Futures Contracts
Assets		7,604,835			—			—		7,604,835
Liabilities		(291,289	)		—			—		(291,289	)
Total	$	7,313,546		$	(333,970	)	$	—	$	6,979,576

(1)	Refer to Note 2(r) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy.
(3)	There were no Level 1/Level 2 transfers during the period ended May 31, 2015.
(4)	Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation.

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:

							Non-Agency
							Commercial
							Mortgage-
	Convertible			Floating			Backed		Total Return
Investment Type	Bond			Rate Loans			Securities		Swap
Balance as of December 1, 2014	$	—		$	92,278,449		$	—	$	2,959,141
Accrued discounts/premiums		—			(1,414	)		765		—
Realized gain (loss)		—			23,943			—		(784,262	)
Change in unrealized appreciation/depreciation		(1,943,419	)		(268,727	)		563,536		—
Purchases		2,223,888			139,005,093			204,547,852		—
Sales		—			(56,852,634	)		—		(2,174,879	)
Net transfers in or out of Level 3		—			(14,828,677	)		—		—
Balance as of May 31, 2015	$	280,469		$	159,356,033		$	205,112,153	$	—

See Notes to Financial Statements. 195

Statements of Assets and Liabilities (unaudited)

May 31, 2015

	Convertible	Floating		High Yield
	Fund	Rate Fund		Fund
ASSETS:
Investments in securities, at cost	$821,342,063	$7,113,462,816		$4,497,048,990
Investments in securities, at fair value	$851,239,792	$7,049,995,884		$4,528,632,557
Deposits with brokers for derivatives collateral	–	768,564		3,290,000
Cash	2,222,498	17,567,649		7,461,786
Foreign cash, at value (cost $0, $5,629,351 and $31,428, respectively)	–	5,655,949		31,076
Receivables:
Interest and dividends	3,286,038	44,292,182		66,298,448
Investment securities sold	635,877	218,904,916		44,832,796
Capital shares sold	5,330,805	47,113,645		32,139,454
From advisor (See Note 3)	18,842	–		–
Variation margin	–	–		288,044
Unrealized appreciation on forward foreign currency exchange contracts	–	547,843		1,587,604
Credit default swap agreement receivable, at fair value (including upfront payments received of $0, $0, and $79,466)	–	–		302,357
Prepaid expenses and other assets	75,387	188,241		184,010
Total assets	862,809,239	7,385,034,873		4,685,048,132
LIABILITIES:
Payables:
Investment securities purchased	16,527,634	417,161,102		144,152,813
Capital shares reacquired	625,049	21,473,315		9,092,669
12b-1 distribution plan	48,670	2,506,135		602,866
Trustees’ fees	62,583	455,235		224,718
Management fee	484,636	2,679,677		2,009,372
Fund administration	27,693	234,419		150,558
To affiliates (See Note 3)	39,398	–		147,000
Variation margin	–	138,739		–
Reverse repurchase agreement payable, at fair value	–	–		3,198,281
Unrealized depreciation on forward foreign currency exchange contracts	–	1,179,892		1,602,992
Distributions payable	–	25,670,048		20,741,646
Accrued expenses	114,500	1,313,098		339,875
Total liabilities	17,930,163	472,811,660		182,262,790
NET ASSETS	$844,879,076	$6,912,223,213		$4,502,785,342
COMPOSITION OF NET ASSETS:
Paid-in capital	$791,302,946	$7,065,718,325		$4,504,434,373
Undistributed (distributions in excess of) net investment income	1,711,770	(3,025,427	)	(10,449,842	)
Accumulated net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions	21,966,631	(85,914,847	)	(23,635,997	)
Net unrealized appreciation (depreciation) on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies	29,897,729	(64,554,838	)	32,436,808
Net Assets	$844,879,076	$6,912,223,213		$4,502,785,342

196 See Notes to Financial Statements.

Statements of Assets and Liabilities (unaudited)(continued)

May 31, 2015

	Convertible		Floating		High Yield
	Fund		Rate Fund		Fund
Net assets by class:
Class A Shares	$	140,340,539	$	2,580,043,406	$	1,089,490,709
Class B Shares	$	1,934,524		–	$	9,220,090
Class C Shares	$	65,380,617	$	1,596,185,909	$	361,935,609
Class F Shares	$	124,618,557	$	2,142,518,995	$	749,298,045
Class I Shares	$	508,865,168	$	566,769,737	$	2,246,216,095
Class P Shares	$	58,750		–	$	1,110,477
Class R2 Shares	$	280,093	$	558,496	$	4,679,653
Class R3 Shares	$	3,400,828	$	26,146,670	$	40,834,664
Outstanding shares by class (unlimited number of authorized shares of beneficial interest):
Class A Shares		11,166,066		278,104,357		142,023,304
Class B Shares		154,177		–		1,207,399
Class C Shares		5,235,392		171,930,300		47,431,813
Class F Shares		9,914,613		231,186,356		97,811,101
Class I Shares		40,282,100		61,058,511		291,586,674
Class P Shares		4,613		–		142,782
Class R2 Shares		22,036		60,126		606,432
Class R3 Shares		271,584		2,817,178		5,293,033
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value		$12.57		$9.28		$7.67
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)		$12.86		$9.49		$7.85
Class B Shares-Net asset value		$12.55		–		$7.64
Class C Shares-Net asset value		$12.49		$9.28		$7.63
Class F Shares-Net asset value		$12.57		$9.27		$7.66
Class I Shares-Net asset value		$12.63		$9.28		$7.70
Class P Shares-Net asset value		$12.74		–		$7.78
Class R2 Shares-Net asset value		$12.71		$9.29		$7.72
Class R3 Shares-Net asset value		$12.52		$9.28		$7.71

See Notes to Financial Statements. 197

Statements of Assets and Liabilities (unaudited)(continued)

May 31, 2015

				Inflation			Short Duration
	Income Fund			Focused Fund			Income Fund
ASSETS:
Investments in securities, at cost	$	2,236,697,025		$	860,839,195		$	35,781,359,685
Investments in securities, at fair value	$	2,263,254,651		$	858,576,725		$	35,740,228,452
Deposits with brokers for derivatives collateral		1,780,000			97,048,294			11,727,479
Cash		1,160,717			1,033,869			59,608,176
Receivables:
Interest and dividends		24,290,073			6,684,411			290,559,884
Investment securities sold		50,928,672			6,727,113			330,903,889
Capital shares sold		13,239,993			4,148,562			211,880,833
From advisor (See Note 3)		188,451			147,669			–
Variation margin		133,638			34,296			2,376,323
Unrealized appreciation on forward foreign currency exchange contracts		2,844,854			23,226			542,253
Unrealized appreciation on CPI swaps		–			10,670,083			–
Prepaid expenses and other assets		110,969			89,212			636,006
Total assets		2,357,932,018			985,183,460			36,648,463,295
LIABILITIES:
Payables:
Investment securities purchased		120,574,755			15,443,673			408,811,152
Capital shares reacquired		5,133,390			2,357,772			211,170,062
12b-1 distribution plan		623,645			231,889			12,070,055
Trustees’ fees		579,357			52,279			2,131,021
Management fee		941,962			290,380			7,763,373
Fund administration		75,357			29,038			1,221,756
To affiliate (See Note 3)		–			–			62,256
Variation margin		–			259			8,934
Unrealized depreciation on forward foreign currency exchange contracts		3,523,344			5,733			229,332
Unrealized depreciation on CPI swaps		–			105,620,135			–
Distributions payable		7,711,416			2,742,822			109,252,570
Credit default swap agreements payable, at fair value (including upfront payments received of $0, $312,615, and $14,456,465)		–			18,349			646,891
Foreign currency overdraft		–			–			253
Accrued expenses		302,745			238,096			4,108,642
Total liabilities		139,465,971			127,030,425			757,476,297
NET ASSETS	$	2,218,466,047		$	858,153,035		$	35,890,986,998
COMPOSITION OF NET ASSETS:
Paid-in capital	$	2,224,306,672		$	1,003,064,481		$	36,972,742,303
Distributions in excess of net investment income		(12,979,316	)		(7,238,439	)		(278,533,721	)
Accumulated net realized loss on investments, futures contracts, swaps and foreign currency related transactions		(19,578,035	)		(40,891,840	)		(783,466,520	)
Net unrealized appreciation (depreciation) on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		26,716,726			(96,781,167	)		(19,755,064	)
Net Assets	$	2,218,466,047		$	858,153,035		$	35,890,986,998

198 See Notes to Financial Statements.

Statements of Assets and Liabilities (unaudited)(concluded)

May 31, 2015

			Inflation		Short Duration
	Income Fund		Focused Fund		Income Fund
Net assets by class:
Class A Shares	$	1,159,228,984	$	407,249,841	$	12,262,678,555
Class B Shares	$	7,028,589		–	$	22,598,144
Class C Shares	$	321,929,483	$	77,097,423	$	7,598,478,848
Class F Shares	$	530,302,352	$	231,277,597	$	11,386,830,025
Class I Shares	$	133,121,612	$	141,915,878	$	4,426,996,492
Class R2 Shares	$	4,701,016	$	364,455	$	20,343,873
Class R3 Shares	$	62,154,011	$	247,841	$	173,061,061
Outstanding shares by class (unlimited number of authorized shares of beneficial interest):
Class A Shares		405,263,421		31,752,452		2,752,384,596
Class B Shares		2,454,856		–		5,065,904
Class C Shares		112,042,296		6,002,358		1,694,889,892
Class F Shares		185,410,381		18,017,796		2,557,796,194
Class I Shares		46,532,247		11,065,091		994,454,575
Class R2 Shares		1,629,383		28,438		4,564,333
Class R3 Shares		21,655,325		19,331		38,806,280
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value		$2.86		$12.83		$4.46
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)		$2.93		$13.13		$4.56
Class B Shares-Net asset value		$2.86		–		$4.46
Class C Shares-Net asset value		$2.87		$12.84		$4.48
Class F Shares-Net asset value		$2.86		$12.84		$4.45
Class I Shares-Net asset value		$2.86		$12.83		$4.45
Class R2 Shares-Net asset value		$2.89		$12.82		$4.46
Class R3 Shares-Net asset value		$2.87		$12.82		$4.46

See Notes to Financial Statements. 199

Statements of Operations (unaudited)

For the Six Months Ended May 31, 2015

	Convertible			Floating			High Yield
	Fund			Rate Fund			Fund
Investment income:
Dividends (net of foreign withholding taxes of $0, $0 and $10,989, respectively)	$	4,266,099		$	3,533		$	1,163,774
Interest and other		5,423,234			175,518,464			127,622,639
Total investment income		9,689,333			175,521,997			128,786,413
Expenses:
Management fee		2,795,751			15,654,596			11,173,053
12b-1 distribution plan-Class A		135,360			2,576,009			952,509
12b-1 distribution plan-Class B		10,530			–			49,274
12b-1 distribution plan-Class C		280,017			6,877,394			1,451,449
12b-1 distribution plan-Class F		62,759			1,075,199			322,152
12b-1 distribution plan-Class P		98			–			2,393
12b-1 distribution plan-Class R2		960			2,020			13,479
12b-1 distribution plan-Class R3		7,933			63,958			92,692
Shareholder servicing		175,648			2,640,513			1,218,308
Fund administration		159,757			1,369,358			834,009
Registration		57,692			173,385			148,121
Reports to shareholders		25,798			270,017			121,594
Professional		31,598			75,880			44,562
Trustees’ fees		12,089			107,086			60,509
Custody		9,282			52,910			59,465
Subsidy (See Note 3)		269,307			–			1,079,141
Other		19,257			147,459			62,911
Gross expenses		4,053,836			31,085,784			17,685,621
Expense reductions (See Note 9)		(154	)		(3,148	)		(1,126	)
Management fee waived (See Note 3)		(121,246	)		–			–
Net expenses		3,932,436			31,082,636			17,684,495
Net investment income		5,756,897			144,439,361			111,101,918
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		23,196,796			(71,215,079	)		(6,155,841	)
Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions		(446,496	)		(1,134,468	)		1,963,866
Net change in unrealized appreciation/depreciation on investments		5,672,400			46,882,457			46,671,163
Net change in unrealized appreciation/depreciation on futures contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies		(155,031	)		(2,590,710	)		(908,530	)
Net realized and unrealized gain (loss)		28,267,669			(28,057,800	)		41,570,658
Net Increase in Net Assets Resulting From Operations	$	34,024,566		$	116,381,561		$	152,672,576

200 See Notes to Financial Statements.

Statements of Operations (unaudited)(concluded)

For the Six Months Ended May 31, 2015

	Income Fund			Inflation Focused Fund			Short Duration Income Fund
Investment income:
Dividends	$	85,963		$	–		$	–
Interest and other (net of foreign withholding taxes of $0, $44 and $468, respectively)		47,908,129			12,155,036			523,556,078
Total investment income		47,994,092			12,155,036			523,556,078
Expenses:
Management fee		5,451,088			1,658,870			46,193,710
12b-1 distribution plan-Class A		1,154,035			401,268			12,497,029
12b-1 distribution plan-Class B		39,553			–			121,625
12b-1 distribution plan-Class C		1,337,789			348,663			33,006,669
12b-1 distribution plan-Class F		249,365			120,495			5,774,335
12b-1 distribution plan-Class R2		14,096			996			57,606
12b-1 distribution plan-Class R3		140,926			485			386,396
Shareholder servicing		1,150,648			926,706			13,364,441
Fund administration		436,087			165,887			7,271,322
Registration		89,492			79,225			620,264
Reports to shareholders		73,360			55,797			1,167,415
Professional		41,146			51,455			101,742
Trustees’ fees		31,713			13,093			554,320
Custody		34,274			41,153			218,110
Subsidy (See Note 3)		–			–			412,084
Other		47,292			34,817			546,426
Gross expenses		10,290,864			3,898,910			122,293,494
Expense reductions (See Note 9)		(1,015	)		(378	)		(16,456	)
Management fee waived (See Note 3)		(1,030,823	)		(745,679	)		–
Net expenses		9,259,026			3,152,853			122,277,038
Net investment income		38,735,066			9,002,183			401,279,040
Net realized and unrealized gain (loss):
Net realized gain (loss) on investments		6,700,614			(4,120,869	)		(128,498,621	)
Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions		(14,642,598	)		(10,182,200	)		21,720,641
Net change in unrealized appreciation/depreciation on investments		(24,008,063	)		221,822			24,447,375
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		5,991,759			(12,450,857	)		(2,611,763	)
Net realized and unrealized loss		(25,958,288	)		(26,532,104	)		(84,942,368	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	12,776,778		$	(17,529,921	)	$	316,336,672

See Notes to Financial Statements. 201

Statements of Changes in Net Assets

	Convertible Fund
	For the Six Months
	Ended May 31, 2015			For the Year Ended
INCREASE (DECREASE) IN NET ASSETS	(unaudited)			November 30, 2014
Operations:
Net investment income	$	5,756,897		$	8,291,002
Net realized gain on investments and foreign currency related transactions		22,750,300			89,981,637
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies		5,517,369			(31,284,746	)
Net increase in net assets resulting from operations		34,024,566			66,987,893
Distributions to shareholders from:
Net investment income
Class A		(2,361,105	)		(2,965,891	)
Class B		(30,446	)		(38,373	)
Class C		(961,397	)		(962,817	)
Class F		(2,438,457	)		(2,181,735	)
Class I		(8,535,213	)		(8,760,721	)
Class P		(847	)		(854	)
Class R2		(5,562	)		(3,575	)
Class R3		(50,667	)		(46,410	)
Net realized gain
Class A		(13,499,163	)		(7,749,692	)
Class B		(226,710	)		(195,676	)
Class C		(6,659,559	)		(3,927,766	)
Class F		(13,720,577	)		(5,187,501	)
Class I		(45,051,166	)		(24,507,594	)
Class P		(4,971	)		(2,837	)
Class R2		(36,565	)		(10,597	)
Class R3		(306,027	)		(137,474	)
Total distributions to shareholders		(93,888,432	)		(56,679,513	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		120,601,905			504,472,762
Reinvestment of distributions		88,655,853			53,080,027
Cost of shares reacquired		(150,045,187	)		(339,424,521	)
Net increase in net assets resulting from capital share transactions		59,212,571			218,128,268
Net increase (decrease) in net assets		(651,295	)		228,436,648
NET ASSETS:
Beginning of period	$	845,530,371		$	617,093,723
End of period	$	844,879,076		$	845,530,371
Undistributed net investment income	$	1,711,770		$	10,338,567

202 See Notes to Financial Statements.

Statements of Changes in Net Assets (continued)

	Floating Rate Fund
	For the Six Months
	Ended May 31, 2015			For the Year Ended
DECREASE IN NET ASSETS	(unaudited)			November 30, 2014
Operations:
Net investment income	$	144,439,361		$	380,169,999
Net realized loss on investments, futures contracts and foreign currency related transactions		(72,349,547	)		(16,949,291	)
Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies		44,291,747			(150,970,191	)
Net increase in net assets resulting from operations		116,381,561			212,250,517
Distributions to shareholders from:
Net investment income
Class A		(55,840,137	)		(157,097,787	)
Class C		(29,982,578	)		(73,416,784	)
Class F		(47,607,419	)		(123,121,338	)
Class I		(10,552,439	)		(25,374,552	)
Class R2		(13,251	)		(29,186	)
Class R3		(516,562	)		(980,327	)
Net realized gain
Class A		–			(5,992,273	)
Class C		–			(3,168,726	)
Class F		–			(4,427,832	)
Class I		–			(1,001,570	)
Class R2		–			(999	)
Class R3		–			(25,410	)
Total distributions to shareholders		(144,512,386	)		(394,636,784	)
Capital share transactions (See Note 13):
Net proceeds from sales of shares		1,262,364,012			3,520,208,488
Reinvestment of distributions		116,158,113			314,723,706
Cost of shares reacquired		(1,885,415,160	)		(4,854,904,041	)
Net decrease in net assets resulting from capital share transactions		(506,893,035	)		(1,019,971,847	)
Net decrease in net assets		(535,023,860	)		(1,202,358,114	)
NET ASSETS:
Beginning of period	$	7,447,247,073		$	8,649,605,187
End of period	$	6,912,223,213		$	7,447,247,073
Distributions in excess of net investment income	$	(3,025,427	)	$	(2,952,402	)

See Notes to Financial Statements. 203

Statements of Changes in Net Assets (continued)

	High Yield Fund
	For the Six Months
	Ended May 31, 2015			For the Year Ended
INCREASE IN NET ASSETS	(unaudited)			November 30, 2014
Operations:
Net investment income	$	111,101,918		$	179,908,415
Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions		(4,191,975	)		84,691,806
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		45,762,633			(90,306,372	)
Net increase in net assets resulting from operations		152,672,576			174,293,849
Distributions to shareholders from:
Net investment income
Class A		(26,893,231	)		(54,714,437	)
Class B		(240,852	)		(616,383	)
Class C		(8,563,230	)		(17,114,257	)
Class F		(18,464,353	)		(26,288,964	)
Class I		(63,917,764	)		(90,883,949	)
Class P		(28,762	)		(87,965	)
Class R2		(118,509	)		(286,244	)
Class R3		(1,000,244	)		(1,738,195	)
Net realized gain
Class A		(18,502,163	)		(28,726,127	)
Class B		(231,137	)		(444,152	)
Class C		(7,391,241	)		(10,505,509	)
Class F		(12,470,634	)		(13,416,030	)
Class I		(45,464,650	)		(39,914,001	)
Class P		(22,657	)		(50,993	)
Class R2		(101,188	)		(161,318	)
Class R3		(787,757	)		(985,577	)
Total distributions to shareholders		(204,198,372	)		(285,934,101	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		1,359,191,714			2,974,683,418
Reinvestment of distributions		188,999,956			252,387,774
Cost of shares reacquired		(1,175,206,089	)		(1,714,227,446	)
Net increase in net assets resulting from capital share transactions		372,985,581			1,512,843,746
Net increase in net assets		321,459,785			1,401,203,494
NET ASSETS:
Beginning of period	$	4,181,325,557		$	2,780,122,063
End of period	$	4,502,785,342		$	4,181,325,557
Distributions in excess of net investment income	$	(10,449,842	)	$	(2,324,815	)

204 See Notes to Financial Statements.

Statements of Changes in Net Assets (continued)

	Income Fund
	For the Six Months
	Ended May 31, 2015			For the Year Ended
INCREASE IN NET ASSETS	(unaudited)			November 30, 2014
Operations:
Net investment income	$	38,735,066		$	68,983,317
Net realized gain (loss) on investments, futures contracts and foreign currency related transactions		(7,941,984	)		32,626,763
Net change in unrealized appreciation/depreciation on investments, futures contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies		(18,016,304	)		41,753,694
Net increase in net assets resulting from operations		12,776,778			143,363,774
Distributions to shareholders from:
Net investment income
Class A		(25,674,252	)		(49,927,688	)
Class B		(145,073	)		(379,421	)
Class C		(6,119,607	)		(12,563,879	)
Class F		(11,281,608	)		(16,110,292	)
Class I		(3,169,707	)		(5,650,901	)
Class R2		(95,189	)		(164,581	)
Class R3		(1,171,631	)		(1,768,650	)
Net realized gain
Class A		(5,674,198	)		(16,287,238	)
Class B		(42,310	)		(164,902	)
Class C		(1,587,393	)		(4,932,956	)
Class F		(2,308,309	)		(4,380,342	)
Class I		(652,716	)		(1,420,439	)
Class R2		(23,194	)		(50,278	)
Class R3		(256,548	)		(474,725	)
Total distributions to shareholders		(58,201,735	)		(114,276,292	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		464,790,373			777,277,597
Reinvestment of distributions		48,867,245			95,008,560
Cost of shares reacquired		(351,872,281	)		(606,009,605	)
Net increase in net assets resulting from capital share transactions		161,785,337			266,276,552
Net increase in net assets		116,360,380			295,364,034
NET ASSETS:
Beginning of period	$	2,102,105,667		$	1,806,741,633
End of period	$	2,218,466,047		$	2,102,105,667
Distributions in excess of net investment income	$	(12,979,316	)	$	(4,057,315	)

See Notes to Financial Statements. 205

Statements of Changes in Net Assets (continued)

	Inflation Focused Fund
	For the Six Months
	Ended May 31, 2015				For the Year Ended
INCREASE (DECREASE) IN NET ASSETS	(unaudited)				November 30, 2014
Operations:
Net investment income		$	9,002,183			$	18,809,676
Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions			(14,303,069	)			1,841,831
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies			(12,229,035	)			(48,464,530	)
Net decrease in net assets resulting from operations			(17,529,921	)			(27,813,023	)
Distributions to shareholders from:
Net investment income
Class A			(8,046,794	)			(16,462,119	)
Class C			(1,427,453	)			(3,576,540	)
Class F			(4,933,985	)			(10,620,797	)
Class I			(2,159,022	)			(3,371,516	)
Class R2			(6,020	)			(8,210	)
Class R3			(3,615	)			(5,027	)
Total distributions to shareholders			(16,576,889	)			(34,044,209	)
Capital share transactions (See Note 13):
Net proceeds from sales of shares			269,231,467				710,805,051
Reinvestment of distributions			13,498,234				27,702,318
Cost of shares reacquired			(338,445,973	)			(656,553,266	)
Net increase (decrease) in net assets resulting from capital share transactions			(55,716,272	)			81,954,103
Net increase (decrease) in net assets			(89,823,082	)			20,096,871
NET ASSETS:
Beginning of period		$	947,976,117			$	927,879,246
End of period		$	858,153,035			$	947,976,117
Undistributed (distributions in excess of) net investment income		$	(7,238,439	)		$	336,267

206 See Notes to Financial Statements.

Statements of Changes in Net Assets (concluded)

	Short Duration Income Fund
	For the Six Months
	Ended May 31, 2015				For the Year Ended
INCREASE (DECREASE) IN NET ASSETS	(unaudited)				November 30, 2014
Operations:
Net investment income		$	401,279,040			$	756,094,528
Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions			(106,777,980	)			144,828,398
Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies			21,835,612				(175,564,183	)
Net increase in net assets resulting from operations			316,336,672				725,358,743
Distributions to shareholders from:
Net investment income
Class A			(241,665,699	)			(492,101,765	)
Class B			(374,552	)			(832,082	)
Class C			(125,073,872	)			(242,747,287	)
Class F			(228,702,355	)			(391,559,355	)
Class I			(87,998,726	)			(138,731,715	)
Class R2			(333,662	)			(573,630	)
Class R3			(2,772,797	)			(4,349,339	)
Net realized gain
Class A			–				(17,674,782	)
Class B			–				(41,940	)
Class C			–				(10,740,752	)
Class F			–				(12,228,198	)
Class I			–				(4,311,091	)
Class R2			–				(18,850	)
Class R3			–				(152,877	)
Total distributions to shareholders			(686,921,663	)			(1,316,063,663	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares			6,921,199,863				19,126,625,581
Reinvestment of distributions			556,350,551				1,064,143,330
Cost of shares reacquired			(9,184,520,653	)			(15,683,285,935	)
Net increase (decrease) in net assets resulting from capital share transactions			(1,706,970,239	)			4,507,482,976
Net increase (decrease) in net assets			(2,077,555,230	)			3,916,778,056
NET ASSETS:
Beginning of period		$	37,968,542,228			$	34,051,764,172
End of period		$	35,890,986,998			$	37,968,542,228
Undistributed (distributions in excess of) net investment income		$	(278,533,721	)		$	7,108,902

See Notes to Financial Statements. 207

Financial Highlights

CONVERTIBLE FUND

	Class A Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.59		$13.66		$11.12		$10.33		$11.24		$10.30
Investment operations:
Net investment income(a)	.08		.14		.18		.23		.28		.33
Net realized and unrealized gain (loss)	.45		.98		2.63		.85		(.82	)	1.08
Total from investment operations	.53		1.12		2.81		1.08		(.54	)	1.41
Distributions to shareholders from:
Net investment income	(.23	)	(.29	)	(.27	)	(.29	)	(.37	)	(.47	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.55	)	(1.19	)	(.27	)	(.29	)	(.37	)	(.47	)
Net asset value, end of period	$12.57		$13.59		$13.66		$11.12		$10.33		$11.24
Total Return(b)	4.39	%(c)	8.99	%	25.74	%	10.62	%	(5.07	)%	14.12	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.53	%(c)	1.06	%	1.06	%	1.07	%	.99	%	1.41	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.53	%(c)	1.06	%	1.06	%	1.07	%	.99	%	1.41	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.54	%(c)	1.11	%	1.12	%	1.13	%	.99	%	1.41	%
Net investment income	.68	%(c)	1.09	%	1.42	%	2.14	%	2.43	%	3.05	%
Supplemental Data:
Net assets, end of period (000)	$140,341		$171,401		$113,956		$59,728		$74,497		$80,399
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

208 See Notes to Financial Statements.

Financial Highlights (continued)

CONVERTIBLE FUND

	Class B Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.57		$13.63		$11.09		$10.30		$11.20		$10.27
Investment operations:
Net investment income(a)	.03		.04		.08		.15		.20		.26
Net realized and unrealized gain (loss)	.45		.98		2.63		.84		(.82	)	1.07
Total from investment operations	.48		1.02		2.71		.99		(.62	)	1.33
Distributions to shareholders from:
Net investment income	(.18	)	(.18	)	(.17	)	(.20	)	(.28	)	(.40	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.50	)	(1.08	)	(.17	)	(.20	)	(.28	)	(.40	)
Net asset value, end of period	$12.55		$13.57		$13.63		$11.09		$10.30		$11.20
Total Return(b)	3.98	%(c)	8.17	%	24.76	%	9.67	%	(5.78	)%	13.30	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.93	%(c)	1.86	%	1.86	%	1.87	%	1.75	%	2.05	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.93	%(c)	1.86	%	1.86	%	1.87	%	1.75	%	2.05	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.94	%(c)	1.91	%	1.91	%	1.93	%	1.75	%	2.05	%
Net investment income	.28	%(c)	.27	%	.67	%	1.35	%	1.71	%	2.42	%
Supplemental Data:
Net assets, end of period (000)	$1,935		$2,351		$2,950		$3,127		$5,243		$8,915
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 209

Financial Highlights (continued)

CONVERTIBLE FUND

	Class C Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.52		$13.59		$11.06		$10.28		$11.18		$10.25
Investment operations:
Net investment income(a)	.04		.06		.10		.16		.21		.26
Net realized and unrealized gain (loss)	.44		.98		2.63		.84		(.81	)	1.08
Total from investment operations	.48		1.04		2.73		1.00		(.60	)	1.34
Distributions to shareholders from:
Net investment income	(.19	)	(.21	)	(.20	)	(.22	)	(.30	)	(.41	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.51	)	(1.11	)	(.20	)	(.22	)	(.30	)	(.41	)
Net asset value, end of period	$12.49		$13.52		$13.59		$11.06		$10.28		$11.18
Total Return(b)	4.01	%(c)	8.36	%	25.02	%	9.86	%	(5.62	)%	13.34	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.86	%(c)	1.71	%	1.68	%	1.70	%	1.64	%	2.05	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.86	%(c)	1.71	%	1.68	%	1.70	%	1.64	%	2.05	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.87	%(c)	1.76	%	1.73	%	1.76	%	1.64	%	2.05	%
Net investment income	.35	%(c)	.44	%	.82	%	1.51	%	1.81	%	2.41	%
Supplemental Data:
Net assets, end of period (000)	$65,381		$68,685		$58,045		$42,636		$50,035		$55,798
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

210 See Notes to Financial Statements.

Financial Highlights (continued)

CONVERTIBLE FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.60		$13.66		$11.12		$10.33		$11.24		$10.31
Investment operations:
Net investment income(a)	.09		.16		.19		.24		.29		.35
Net realized and unrealized gain (loss)	.43		.99		2.63		.85		(.81	)	1.08
Total from investment operations	.52		1.15		2.82		1.09		(.52	)	1.43
Distributions to shareholders from:
Net investment income	(.23	)	(.31	)	(.28	)	(.30	)	(.39	)	(.50	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.55	)	(1.21	)	(.28	)	(.30	)	(.39	)	(.50	)
Net asset value, end of period	$12.57		$13.60		$13.66		$11.12		$10.33		$11.24
Total Return(b)	4.38	%(c)	9.18	%	25.86	%	10.74	%	(4.92	)%	14.29	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.48	%(c)	.96	%	.96	%	.96	%	.86	%	1.17	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.48	%(c)	.96	%	.96	%	.96	%	.86	%	1.17	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.49	%(c)	1.01	%	1.02	%	1.03	%	.86	%	1.17	%
Net investment income	.73	%(c)	1.19	%	1.50	%	2.24	%	2.55	%	3.30	%
Supplemental Data:
Net assets, end of period (000)	$124,619		$132,982		$75,696		$36,060		$34,227		$31,141
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 211

Financial Highlights (continued)

CONVERTIBLE FUND

	Class I Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.65		$13.71		$11.16		$10.37		$11.28		$10.34
Investment operations:
Net investment income(a)	.10		.17		.20		.25		.30		.36
Net realized and unrealized gain (loss)	.44		.99		2.65		.85		(.81	)	1.09
Total from investment operations	.54		1.16		2.85		1.10		(.51	)	1.45
Distributions to shareholders from:
Net investment income	(.24	)	(.32	)	(.30	)	(.31	)	(.40	)	(.51	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.56	)	(1.22	)	(.30	)	(.31	)	(.40	)	(.51	)
Net asset value, end of period	$12.63		$13.65		$13.71		$11.16		$10.37		$11.28
Total Return(b)	4.48	%(c)	9.24	%	25.98	%	10.81	%	(4.81	)%	14.46	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.43	%(c)	.86	%	.86	%	.86	%	.80	%	1.02	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.43	%(c)	.86	%	.86	%	.86	%	.80	%	1.02	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.44	%(c)	.91	%	.92	%	.93	%	.80	%	1.02	%
Net investment income	.78	%(c)	1.30	%	1.64	%	2.33	%	2.68	%	3.41	%
Supplemental Data:
Net assets, end of period (000)	$508,865		$466,537		$364,317		$292,323		$156,799		$102,611
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

212 See Notes to Financial Statements.

Financial Highlights (continued)

CONVERTIBLE FUND

	Class P Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.75		$13.80		$11.23		$10.44		$11.33		$10.38
Investment operations:
Net investment income(a)	.08		.11		.15		.21		.29		.32
Net realized and unrealized gain (loss)	.45		1.00		2.66		.85		(.86	)	1.09
Total from investment operations	.53		1.11		2.81		1.06		(.57	)	1.41
Distributions to shareholders from:
Net investment income	(.22	)	(.26	)	(.24	)	(.27	)	(.32	)	(.46	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.54	)	(1.16	)	(.24	)	(.27	)	(.32	)	(.46	)
Net asset value, end of period	$12.74		$13.75		$13.80		$11.23		$10.44		$11.33
Total Return(b)	4.32	%(c)	8.77	%	25.45	%	10.24	%	(5.23	)%	13.99	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.61	%(c)	1.31	%	1.30	%	1.31	%	1.06	%	1.51	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.61	%(c)	1.31	%	1.30	%	1.31	%	1.06	%	1.51	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.62	%(c)	1.36	%	1.36	%	1.37	%	1.06	%	1.51	%
Net investment income	.61	%(c)	.84	%	1.18	%	1.90	%	2.45	%	2.96	%
Supplemental Data:
Net assets, end of period (000)	$59		$51		$43		$29		$26		$94
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 213

Financial Highlights (continued)

CONVERTIBLE FUND

	Class R2 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.73		$13.78		$11.22		$10.43		$11.34		$10.40
Investment operations:
Net investment income(a)	.06		.09		.12		.19		.23		.29
Net realized and unrealized gain (loss)	.44		1.00		2.66		.85		(.80	)	1.10
Total from investment operations	.50		1.09		2.78		1.04		(.57	)	1.39
Distributions to shareholders from:
Net investment income	(.20	)	(.24	)	(.22	)	(.25	)	(.34	)	(.45	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.52	)	(1.14	)	(.22	)	(.25	)	(.34	)	(.45	)
Net asset value, end of period	$12.71		$13.73		$13.78		$11.22		$10.43		$11.34
Total Return(b)	4.13	%(c)	8.65	%	25.19	%	10.14	%	(5.30	)%	13.68	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.73	%(c)	1.46	%	1.45	%	1.46	%	1.38	%	1.63	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.73	%(c)	1.46	%	1.45	%	1.46	%	1.38	%	1.63	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.74	%(c)	1.51	%	1.52	%	1.52	%	1.38	%	1.63	%
Net investment income	.46	%(c)	.70	%	.99	%	1.72	%	2.06	%	2.68	%
Supplemental Data:
Net assets, end of period (000)	$280		$380		$161		$90		$53		$21
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

214 See Notes to Financial Statements.

Financial Highlights (concluded)

CONVERTIBLE FUND

	Class R3 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.55		$13.62		$11.09		$10.31		$11.21		$10.28
Investment operations:
Net investment income(a)	.07		.10		.14		.20		.25		.31
Net realized and unrealized gain (loss)	.43		.99		2.63		.84		(.81	)	1.08
Total from investment operations	.50		1.09		2.77		1.04		(.56	)	1.39
Distributions to shareholders from:
Net investment income	(.21	)	(.26	)	(.24	)	(.26	)	(.34	)	(.46	)
Net realized gain	(1.32	)	(.90	)	–		–		–		–
Total distributions	(1.53	)	(1.16	)	(.24	)	(.26	)	(.34	)	(.46	)
Net asset value, end of period	$12.52		$13.55		$13.62		$11.09		$10.31		$11.21
Total Return(b)	4.19	%(c)	8.73	%	25.38	%	10.24	%	(5.25	)%	13.90	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.68	%(c)	1.36	%	1.35	%	1.36	%	1.27	%	1.57	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.68	%(c)	1.36	%	1.35	%	1.36	%	1.27	%	1.57	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.69	%(c)	1.41	%	1.41	%	1.42	%	1.27	%	1.57	%
Net investment income	.54	%(c)	.79	%	1.11	%	1.85	%	2.18	%	2.90	%
Supplemental Data:
Net assets, end of period (000)	$3,401		$3,143		$1,924		$915		$740		$821
Portfolio turnover rate	94.80	%(c)	174.32	%	160.16	%	92.34	%	64.09	%	47.60	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 215

Financial Highlights

FLOATING RATE FUND

	Class A Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$9.30		$9.51		$9.37		$8.98		$9.33		$9.07
Investment operations:
Net investment income(a)	.20		.43		.43		.49		.45		.47
Net realized and unrealized gain (loss)	(.02	)	(.19	)	.16		.39		(.30	)	.34
Total from investment operations	.18		.24		.59		.88		.15		.81
Distributions to shareholders from:
Net investment income	(.20	)	(.43	)	(.45	)	(.49	)	(.45	)	(.48	)
Net realized gain	–		(.02	)	–		–		(.05	)	(.07	)
Total distributions	(.20	)	(.45	)	(.45	)	(.49	)	(.50	)	(.55	)
Net asset value, end of period	$9.28		$9.30		$9.51		$9.37		$8.98		$9.33
Total Return(b)	1.96	%(c)	2.54	%	6.36	%	9.99	%	1.65	%	9.17	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.40	%(c)	.80	%	.80	%	.81	%	.82	%	.83	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.40	%(c)	.80	%	.80	%	.81	%	.82	%	.83	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.40	%(c)	.80	%	.80	%	.81	%	.82	%	.85	%
Net investment income	2.16	%(c)	4.57	%	4.55	%	5.27	%	4.86	%	5.10	%
Supplemental Data:
Net assets, end of period (000)	$2,580,043		$2,856,709		$3,585,657		$1,406,702		$1,151,105		$1,104,145
Portfolio turnover rate	35.51	%(c)	91.11	%	87.52	%	81.48	%	93.56	%	46.48	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

216 See Notes to Financial Statements.

Financial Highlights (continued)

FLOATING RATE FUND

	Class C Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$9.31		$9.51		$9.38		$8.98		$9.34		$9.07
Investment operations:
Net investment income(a)	.17		.37		.37		.43		.38		.40
Net realized and unrealized gain (loss)	(.03	)	(.18	)	.14		.40		(.31	)	.35
Total from investment operations	.14		.19		.51		.83		.07		.75
Distributions to shareholders from:
Net investment income	(.17	)	(.37	)	(.38	)	(.43	)	(.38	)	(.41	)
Net realized gain	–		(.02	)	–		–		(.05	)	(.07	)
Total distributions	(.17	)	(.39	)	(.38	)	(.43	)	(.43	)	(.48	)
Net asset value, end of period	$9.28		$9.31		$9.51		$9.38		$8.98		$9.34
Total Return(b)	1.53	%(c)	1.95	%	5.57	%	9.39	%	.79	%	8.46	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.72	%(c)	1.49	%	1.45	%	1.48	%	1.56	%	1.60	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.72	%(c)	1.49	%	1.45	%	1.48	%	1.56	%	1.60	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.72	%(c)	1.49	%	1.45	%	1.48	%	1.56	%	1.61	%
Net investment income	1.84	%(c)	3.89	%	3.94	%	4.62	%	4.14	%	4.32	%
Supplemental Data:
Net assets, end of period (000)	$1,596,186		$1,740,187		$1,864,537		$952,176		$882,233		$691,302
Portfolio turnover rate	35.51	%(c)	91.11	%	87.52	%	81.48	%	93.56	%	46.48	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 217

Financial Highlights (continued)

FLOATING RATE FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$9.29		$9.50		$9.36		$8.97		$9.32		$9.06
Investment operations:
Net investment income(a)	.20		.44		.44		.50		.46		.48
Net realized and unrealized gain (loss)	(.02	)	(.19	)	.15		.39		(.30	)	.34
Total from investment operations	.18		.25		.59		.89		.16		.82
Distributions to shareholders from:
Net investment income	(.20	)	(.44	)	(.45	)	(.50	)	(.46	)	(.49	)
Net realized gain	–		(.02	)	–		–		(.05	)	(.07	)
Total distributions	(.20	)	(.46	)	(.45	)	(.50	)	(.51	)	(.56	)
Net asset value, end of period	$9.27		$9.29		$9.50		$9.36		$8.97		$9.32
Total Return(b)	2.01	%(c)	2.64	%	6.47	%	10.11	%	1.74	%	9.30	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.35	%(c)	.70	%	.70	%	.71	%	.72	%	.72	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.35	%(c)	.70	%	.70	%	.71	%	.72	%	.72	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.35	%(c)	.70	%	.70	%	.71	%	.72	%	.74	%
Net investment income	2.21	%(c)	4.67	%	4.64	%	5.37	%	4.96	%	5.20	%
Supplemental Data:
Net assets, end of period (000)	$2,142,519		$2,387,227		$2,591,702		$930,578		$718,553		$674,403
Portfolio turnover rate	35.51	%(c)	91.11	%	87.52	%	81.48	%	93.56	%	46.48	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

218 See Notes to Financial Statements.

Financial Highlights (continued)

FLOATING RATE FUND

	Class I Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$9.31		$9.51		$9.38		$8.98		$9.34		$9.07
Investment operations:
Net investment income(a)	.21		.45		.45		.51		.47		.50
Net realized and unrealized gain (loss)	(.03	)	(.18	)	.14		.40		(.31	)	.35
Total from investment operations	.18		.27		.59		.91		.16		.85
Distributions to shareholders from:
Net investment income	(.21	)	(.45	)	(.46	)	(.51	)	(.47	)	(.51	)
Net realized gain	–		(.02	)	–		–		(.05	)	(.07	)
Total distributions	(.21	)	(.47	)	(.46	)	(.51	)	(.52	)	(.58	)
Net asset value, end of period	$9.28		$9.31		$9.51		$9.38		$8.98		$9.34
Total Return(b)	1.95	%(c)	2.85	%	6.46	%	10.32	%	1.74	%	9.58	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.30	%(c)	.60	%	.60	%	.62	%	.63	%	.62	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.30	%(c)	.60	%	.60	%	.62	%	.63	%	.62	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.30	%(c)	.60	%	.60	%	.62	%	.63	%	.64	%
Net investment income	2.25	%(c)	4.76	%	4.76	%	5.48	%	5.09	%	5.42	%
Supplemental Data:
Net assets, end of period (000)	$566,770		$435,250		$593,427		$211,974		$224,241		$141,380
Portfolio turnover rate	35.51	%(c)	91.11	%	87.52	%	81.48	%	93.56	%	46.48	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 219

Financial Highlights (continued)

FLOATING RATE FUND

	Class R2 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$9.31		$9.52		$9.38		$8.99		$9.34		$9.07
Investment operations:
Net investment income(a)	.18		.40		.40		.45		.42		.49
Net realized and unrealized gain (loss)	(.02	)	(.19	)	.15		.39		(.30	)	.35
Total from investment operations	.16		.21		.55		.84		.12		.84
Distributions to shareholders from:
Net investment income	(.18	)	(.40	)	(.41	)	(.45	)	(.42	)	(.50	)
Net realized gain	–		(.02	)	–		–		(.05	)	(.07	)
Total distributions	(.18	)	(.42	)	(.41	)	(.45	)	(.47	)	(.57	)
Net asset value, end of period	$9.29		$9.31		$9.52		$9.38		$8.99		$9.34
Total Return(b)	1.76	%(c)	2.14	%	5.85	%	9.68	%	1.25	%	9.48	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.60	%(c)	1.20	%	1.20	%	1.21	%	1.21	%	.76	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.60	%(c)	1.20	%	1.20	%	1.21	%	1.21	%	.76	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.60	%(c)	1.20	%	1.20	%	1.21	%	1.21	%	.80	%
Net investment income	1.96	%(c)	4.19	%	4.24	%	4.90	%	4.45	%	5.32	%
Supplemental Data:
Net assets, end of period (000)	$558		$670		$601		$346		$82		$12
Portfolio turnover rate	35.51	%(c)	91.11	%	87.52	%	81.48	%	93.56	%	46.48	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

220 See Notes to Financial Statements.

Financial Highlights (concluded)

FLOATING RATE FUND

	Class R3 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$9.31		$9.51		$9.37		$8.98		$9.34		$9.07
Investment operations:
Net investment income(a)	.19		.41		.40		.46		.43		.45
Net realized and unrealized gain (loss)	(.03	)	(.19	)	.16		.39		(.31	)	.35
Total from investment operations	.16		.22		.56		.85		.12		.80
Distributions to shareholders from:
Net investment income	(.19	)	(.40	)	(.42	)	(.46	)	(.43	)	(.46	)
Net realized gain	–		(.02	)	–		–		(.05	)	(.07	)
Total distributions	(.19	)	(.42	)	(.42	)	(.46	)	(.48	)	(.53	)
Net asset value, end of period	$9.28		$9.31		$9.51		$9.37		$8.98		$9.34
Total Return(b)	1.70	%(c)	2.35	%	5.96	%	9.79	%	1.25	%	9.06	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.55	%(c)	1.10	%	1.10	%	1.12	%	1.13	%	1.13	%
Expenses, including expense reductions, management fee waived and expenses reimbursed	.55	%(c)	1.10	%	1.10	%	1.12	%	1.13	%	1.13	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.55	%(c)	1.10	%	1.10	%	1.12	%	1.13	%	1.15	%
Net investment income	2.01	%(c)	4.32	%	4.24	%	5.00	%	4.64	%	4.87	%
Supplemental Data:
Net assets, end of period (000)	$26,147		$27,205		$13,680		$2,629		$1,192		$424
Portfolio turnover rate	35.51	%(c)	91.11	%	87.52	%	81.48	%	93.56	%	46.48	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 221

Financial Highlights

HIGH YIELD FUND

	Class A Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.79		$8.05		$7.95		$7.32		$7.69		$7.22
Investment operations:
Net investment income(a)	.20		.43		.49		.53		.55		.61
Net realized and unrealized gain (loss)	.06		.04		.31		.70		(.34	)	.49
Total from investment operations	.26		.47		.80		1.23		.21		1.10
Distributions to shareholders from:
Net investment income	(.21	)	(.46	)	(.52	)	(.55	)	(.58	)	(.63	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.38	)	(.73	)	(.70	)	(.60	)	(.58	)	(.63	)
Net asset value, end of period	$7.67		$7.79		$8.05		$7.95		$7.32		$7.69
Total Return(b)	3.57	%(c)	6.06	%	10.52	%	17.41	%	2.52	%	15.79	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and 12b-1 distribution fees reimbursed	.45	%(c)	.94	%	.95	%	.96	%	.97	%	.98	%
Expenses, including expense reductions, management fee waived and 12b-1 distribution fees reimbursed	.45	%(c)	.94	%	.95	%	.96	%	.97	%	.98	%
Expenses, excluding expense reductions, management fee waived and 12b-1 distribution fees reimbursed	.45	%(c)	.94	%	.95	%	.96	%	1.01	%	1.16	%
Net investment income	2.61	%(c)	5.42	%	6.18	%	6.83	%	7.11	%	8.06	%
Supplemental Data:
Net assets, end of period (000)	$1,089,491		$922,139		$841,494		$785,546		$527,449		$422,609
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

222 See Notes to Financial Statements.

Financial Highlights (continued)

HIGH YIELD FUND

	Class B Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.75		$8.02		$7.92		$7.29		$7.66		$7.19
Investment operations:
Net investment income(a)	.17		.37		.43		.47		.49		.55
Net realized and unrealized gain (loss)	.07		.02		.30		.70		(.35	)	.49
Total from investment operations	.24		.39		.73		1.17		.14		1.04
Distributions to shareholders from:
Net investment income	(.18	)	(.39	)	(.45	)	(.49	)	(.51	)	(.57	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.35	)	(.66	)	(.63	)	(.54	)	(.51	)	(.57	)
Net asset value, end of period	$7.64		$7.75		$8.02		$7.92		$7.29		$7.66
Total Return(b)	3.30	%(c)	5.10	%	9.67	%	16.39	%	1.85	%	14.92	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived	.85	%(c)	1.74	%	1.75	%	1.76	%	1.77	%	1.78	%
Expenses, including expense reductions and management fee waived	.85	%(c)	1.74	%	1.75	%	1.76	%	1.77	%	1.78	%
Expenses, excluding expense reductions and management fee waived	.85	%(c)	1.74	%	1.75	%	1.76	%	1.78	%	1.82	%
Net investment income	2.24	%(c)	4.67	%	5.43	%	6.10	%	6.38	%	7.36	%
Supplemental Data:
Net assets, end of period (000)	$9,220		$10,682		$13,348		$16,382		$17,620		$25,815
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 223

Financial Highlights (continued)

HIGH YIELD FUND

	Class C Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.75		$8.01		$7.91		$7.29		$7.66		$7.18
Investment operations:
Net investment income(a)	.17		.38		.44		.47		.49		.54
Net realized and unrealized gain (loss)	.07		.04		.30		.69		(.34	)	.51
Total from investment operations	.24		.42		.74		1.16		.15		1.05
Distributions to shareholders from:
Net investment income	(.19	)	(.41	)	(.46	)	(.49	)	(.52	)	(.57	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.36	)	(.68	)	(.64	)	(.54	)	(.52	)	(.57	)
Net asset value, end of period	$7.63		$7.75		$8.01		$7.91		$7.29		$7.66
Total Return(b)	3.24	%(c)	5.38	%	9.81	%	16.53	%	1.78	%	14.90	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived	.78	%(c)	1.59	%	1.62	%	1.64	%	1.68	%	1.78	%
Expenses, including expense reductions and management fee waived	.78	%(c)	1.59	%	1.62	%	1.64	%	1.68	%	1.78	%
Expenses, excluding expense reductions and management fee waived	.78	%(c)	1.59	%	1.62	%	1.64	%	1.70	%	1.81	%
Net investment income	2.30	%(c)	4.78	%	5.52	%	6.15	%	6.41	%	7.21	%
Supplemental Data:
Net assets, end of period (000)	$361,936		$345,738		$312,747		$295,309		$182,994		$136,810
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

224 See Notes to Financial Statements.

Financial Highlights (continued)

HIGH YIELD FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.78		$8.04		$7.94		$7.32		$7.68		$7.21
Investment operations:
Net investment income(a)	.20		.43		.50		.53		.55		.60
Net realized and unrealized gain (loss)	.07		.05		.30		.70		(.33	)	.51
Total from investment operations	.27		.48		.80		1.23		.22		1.11
Distributions to shareholders from:
Net investment income	(.22	)	(.47	)	(.52	)	(.56	)	(.58	)	(.64	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.39	)	(.74	)	(.70	)	(.61	)	(.58	)	(.64	)
Net asset value, end of period	$7.66		$7.78		$8.04		$7.94		$7.32		$7.68
Total Return(b)	3.62	%(c)	6.16	%	10.63	%	17.38	%	2.74	%	15.88	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived	.40	%(c)	.85	%	.85	%	.86	%	.87	%	.88	%
Expenses, including expense reductions and management fee waived	.40	%(c)	.85	%	.85	%	.86	%	.87	%	.88	%
Expenses, excluding expense reductions and management fee waived	.40	%(c)	.85	%	.85	%	.86	%	.89	%	.91	%
Net investment income	2.66	%(c)	5.47	%	6.27	%	6.93	%	7.20	%	7.88	%
Supplemental Data:
Net assets, end of period (000)	$749,298		$602,252		$394,913		$340,845		$207,689		$121,144
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 225

Financial Highlights (continued)

HIGH YIELD FUND

	Class I Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.82		$8.08		$7.98		$7.35		$7.73		$7.25
Investment operations:
Net investment income(a)	.21		.44		.51		.55		.57		.63
Net realized and unrealized gain (loss)	.06		.05		.30		.70		(.36	)	.50
Total from investment operations	.27		.49		.81		1.25		.21		1.13
Distributions to shareholders from:
Net investment income	(.22	)	(.48	)	(.53	)	(.57	)	(.59	)	(.65	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.39	)	(.75	)	(.71	)	(.62	)	(.59	)	(.65	)
Net asset value, end of period	$7.70		$7.82		$8.08		$7.98		$7.35		$7.73
Total Return(b)	3.67	%(c)	6.27	%	10.73	%	17.61	%	2.63	%	16.16	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived	.35	%(c)	.75	%	.75	%	.76	%	.77	%	.78	%
Expenses, including expense reductions and management fee waived	.35	%(c)	.75	%	.75	%	.76	%	.77	%	.78	%
Expenses, excluding expense reductions and management fee waived	.35	%(c)	.75	%	.75	%	.76	%	.78	%	.81	%
Net investment income	2.73	%(c)	5.57	%	6.37	%	7.06	%	7.34	%	8.30	%
Supplemental Data:
Net assets, end of period (000)	$2,246,216		$2,259,001		$1,180,830		$821,545		$657,158		$508,348
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

226 See Notes to Financial Statements.

Financial Highlights (continued)

HIGH YIELD FUND

	Class P Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.89		$8.16		$8.05		$7.42		$7.79		$7.31
Investment operations:
Net investment income(a)	.19		.42		.48		.52		.54		.60
Net realized and unrealized gain (loss)	.08		.03		.31		.70		(.34	)	.50
Total from investment operations	.27		.45		.79		1.22		.20		1.10
Distributions to shareholders from:
Net investment income	(.21	)	(.45	)	(.50	)	(.54	)	(.57	)	(.62	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.38	)	(.72	)	(.68	)	(.59	)	(.57	)	(.62	)
Net asset value, end of period	$7.78		$7.89		$8.16		$8.05		$7.42		$7.79
Total Return(b)	3.57	%(c)	5.68	%	10.21	%	17.15	%	2.35	%	15.43	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived	.58	%(c)	1.19	%	1.20	%	1.21	%	1.22	%	1.23	%
Expenses, including expense reductions and management fee waived	.58	%(c)	1.19	%	1.20	%	1.21	%	1.22	%	1.23	%
Expenses, excluding expense reductions and management fee waived	.58	%(c)	1.19	%	1.20	%	1.21	%	1.24	%	1.26	%
Net investment income	2.51	%(c)	5.20	%	5.95	%	6.62	%	6.91	%	7.84	%
Supplemental Data:
Net assets, end of period (000)	$1,110		$1,603		$1,555		$1,399		$1,088		$936
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 227

Financial Highlights (continued)

HIGH YIELD FUND

	Class R2 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.83		$8.10		$8.00		$7.37		$7.74		$7.26
Investment operations:
Net investment income(a)	.19		.40		.46		.50		.53		.58
Net realized and unrealized gain (loss)	.07		.03		.31		.70		(.35	)	.51
Total from investment operations	.26		.43		.77		1.20		.18		1.09
Distributions to shareholders from:
Net investment income	(.20	)	(.43	)	(.49	)	(.52	)	(.55	)	(.61	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.37	)	(.70	)	(.67	)	(.57	)	(.55	)	(.61	)
Net asset value, end of period	$7.72		$7.83		$8.10		$8.00		$7.37		$7.74
Total Return(b)	3.50	%(c)	5.52	%	10.07	%	16.90	%	2.17	%	15.48	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived	.65	%(c)	1.34	%	1.35	%	1.36	%	1.37	%	1.38	%
Expenses, including expense reductions and management fee waived	.65	%(c)	1.34	%	1.35	%	1.36	%	1.37	%	1.38	%
Expenses, excluding expense reductions and management fee waived	.65	%(c)	1.34	%	1.35	%	1.36	%	1.39	%	1.41	%
Net investment income	2.44	%(c)	5.06	%	5.78	%	6.48	%	6.77	%	7.64	%
Supplemental Data:
Net assets, end of period (000)	$4,680		$4,742		$4,967		$3,471		$3,012		$1,953
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

228 See Notes to Financial Statements.

Financial Highlights (concluded)

HIGH YIELD FUND

	Class R3 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$7.83		$8.10		$7.99		$7.36		$7.74		$7.26
Investment operations:
Net investment income(a)	.19		.41		.47		.51		.53		.58
Net realized and unrealized gain (loss)	.06		.03		.32		.70		(.35	)	.51
Total from investment operations	.25		.44		.79		1.21		.18		1.09
Distributions to shareholders from:
Net investment income	(.20	)	(.44	)	(.50	)	(.53	)	(.56	)	(.61	)
Net realized gain	(.17	)	(.27	)	(.18	)	(.05	)	–		–
Total distributions	(.37	)	(.71	)	(.68	)	(.58	)	(.56	)	(.61	)
Net asset value, end of period	$7.71		$7.83		$8.10		$7.99		$7.36		$7.74
Total Return(b)	3.42	%(c)	5.63	%	10.18	%	17.02	%	2.27	%	15.58	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived	.60	%(c)	1.24	%	1.25	%	1.26	%	1.27	%	1.28	%
Expenses, including expense reductions and management fee waived	.60	%(c)	1.24	%	1.25	%	1.26	%	1.27	%	1.28	%
Expenses, excluding expense reductions and management fee waived	.60	%(c)	1.24	%	1.25	%	1.26	%	1.29	%	1.31	%
Net investment income	2.48	%(c)	5.14	%	5.89	%	6.57	%	6.86	%	7.70	%
Supplemental Data:
Net assets, end of period (000)	$40,835		$35,169		$30,268		$21,540		$14,542		$7,602
Portfolio turnover rate	41.43	%(c)	102.43	%	107.96	%	105.74	%	112.24	%	87.78	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 229

Financial Highlights

INCOME FUND

	Class A Shares
	Six Months
	Ended
	5/31/2015			Year Ended 11/30
	(unaudited)			2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period		$2.92			$2.87			$3.04			$2.84			$2.86			$2.73
Investment operations:
Net investment income(a)		.05			.11			.11			.12			.14			.15
Net realized and unrealized gain (loss)		(.04	)		.12			(.09	)		.25			(.01	)		.14
Total from investment operations		.01			.23			.02			.37			.13			.29
Distributions to shareholders from:
Net investment income		(.06	)		(.14	)		(.14	)		(.15	)		(.15	)		(.16	)
Net realized gain		(.01	)		(.04	)		(.05	)		(.02	)		–			–
Total distributions		(.07	)		(.18	)		(.19	)		(.17	)		(.15	)		(.16	)
Net asset value, end of period		$2.86			$2.92			$2.87			$3.04			$2.84			$2.86
Total Return(b)		.65	%(c)		8.36	%		.82	%		13.38	%		4.64	%		10.87	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.39	%(c)		.78	%		.78	%		.80	%		.87	%		.90	%
Expenses, including expense reductions, management fee waived and expenses reimbursed		.39	%(c)		.78	%		.78	%		.80	%		.87	%		.90	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.44	%(c)		.88	%		.88	%		.87	%		.87	%		.90	%
Net investment income		1.81	%(c)		3.80	%		3.88	%		4.20	%		4.72	%		5.34	%
Supplemental Data:
Net assets, end of period (000)	$	1,159,229		$	1,152,324		$	1,062,485		$	1,163,458		$	771,559		$	688,876
Portfolio turnover rate		83.12	%(c)		211.63	%		272.37	%		265.29	%		149.28	%		158.33	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

230 See Notes to Financial Statements.

Financial Highlights (continued)

INCOME FUND

	Class B Shares
	Six Months
	Ended
	5/31/2015			Year Ended 11/30
	(unaudited)			2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period		$2.92			$2.87			$3.04			$2.84			$2.86			$2.73
Investment operations:
Net investment income(a)		.04			.09			.09			.10			.11			.13
Net realized and unrealized gain (loss)		(.04	)		.12			(.09	)		.24			–	(b)		.14
Total from investment operations		–			.21			–			.34			.11			.27
Distributions to shareholders from:
Net investment income		(.05	)		(.12	)		(.12	)		(.12	)		(.13	)		(.14	)
Net realized gain		(.01	)		(.04	)		(.05	)		(.02	)		–			–
Total distributions		(.06	)		(.16	)		(.17	)		(.14	)		(.13	)		(.14	)
Net asset value, end of period		$2.86			$2.92			$2.87			$3.04			$2.84			$2.86
Total Return(c)		.25	%(d)		7.50	%		.02	%		12.50	%		3.82	%		10.03	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.79	%(d)		1.58	%		1.58	%		1.60	%		1.67	%		1.68	%
Expenses, including expense reductions, management fee waived and expenses reimbursed		.79	%(d)		1.58	%		1.58	%		1.60	%		1.67	%		1.68	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.84	%(d)		1.68	%		1.68	%		1.67	%		1.67	%		1.68	%
Net investment income		1.42	%(d)		3.02	%		3.09	%		3.46	%		3.95	%		4.62	%
Supplemental Data:
Net assets, end of period (000)		$7,029			$8,511			$10,691			$14,751			$16,213			$21,806
Portfolio turnover rate		83.12	%(d)		211.63	%		272.37	%		265.29	%		149.28	%		158.33	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

See Notes to Financial Statements. 231

Financial Highlights (continued)

INCOME FUND

	Class C Shares
	Six Months
	Ended
	5/31/2015			Year Ended 11/30
	(unaudited)			2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period		$2.93			$2.88			$3.05			$2.85			$2.87			$2.74
Investment operations:
Net investment income(a)		.04			.09			.09			.10			.12			.13
Net realized and unrealized gain (loss)		(.03	)		.12			(.09	)		.25			(.01	)		.13
Total from investment operations		.01			.21			–			.35			.11			.26
Distributions to shareholders from:
Net investment income		(.06	)		(.12	)		(.12	)		(.13	)		(.13	)		(.13	)
Net realized gain		(.01	)		(.04	)		(.05	)		(.02	)		–			–
Total distributions		(.07	)		(.16	)		(.17	)		(.15	)		(.13	)		(.13	)
Net asset value, end of period		$2.87			$2.93			$2.88			$3.05			$2.85			$2.87
Total Return(b)		.34	%(c)		7.65	%		.14	%		12.60	%		3.94	%		10.09	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.70	%(c)		1.43	%		1.46	%		1.46	%		1.55	%		1.58	%
Expenses, including expense reductions, management fee waived and expenses reimbursed		.70	%(c)		1.43	%		1.46	%		1.46	%		1.55	%		1.58	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.75	%(c)		1.53	%		1.56	%		1.53	%		1.55	%		1.59	%
Net investment income		1.49	%(c)		3.16	%		3.20	%		3.52	%		4.04	%		4.60	%
Supplemental Data:
Net assets, end of period (000)		$321,929			$316,854			$323,028			$380,364			$215,051			$172,083
Portfolio turnover rate		83.12	%(c)		211.63	%		272.37	%		265.29	%		149.28	%		158.33	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

232 See Notes to Financial Statements.

Financial Highlights (continued)

INCOME FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015			Year Ended 11/30
	(unaudited)			2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period		$2.92			$2.87			$3.04			$2.83			$2.86			$2.73
Investment operations:
Net investment income(a)		.05			.11			.12			.13			.14			.15
Net realized and unrealized gain (loss)		(.03	)		.12			(.09	)		.25			(.02	)		.14
Total from investment operations		.02			.23			.03			.38			.12			.29
Distributions to shareholders from:
Net investment income		(.07	)		(.14	)		(.15	)		(.15	)		(.15	)		(.16	)
Net realized gain		(.01	)		(.04	)		(.05	)		(.02	)		–			–
Total distributions		(.08	)		(.18	)		(.20	)		(.17	)		(.15	)		(.16	)
Net asset value, end of period		$2.86			$2.92			$2.87			$3.04			$2.83			$2.86
Total Return(b)		.69	%(c)		8.46	%		.92	%		13.48	%		4.73	%		10.98	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.34	%(c)		.68	%		.68	%		.70	%		.77	%		.77	%
Expenses, including expense reductions, management fee waived and expenses reimbursed		.34	%(c)		.68	%		.68	%		.70	%		.77	%		.77	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.39	%(c)		.78	%		.78	%		.77	%		.77	%		.77	%
Net investment income		1.85	%(c)		3.86	%		3.97	%		4.25	%		4.76	%		5.29	%
Supplemental Data:
Net assets, end of period (000)		$530,302			$437,545			$288,858			$469,257			$199,531			$100,874
Portfolio turnover rate		83.12	%(c)		211.63	%		272.37	%		265.29	%		149.28	%		158.33	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 233

Financial Highlights (continued)

INCOME FUND

	Class I Shares
	Six Months
	Ended
	5/31/2015			Year Ended 11/30
	(unaudited)			2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period		$2.92			$2.87			$3.04			$2.84			$2.85			$2.72
Investment operations:
Net investment income(a)		.05			.12			.12			.13			.14			.15
Net realized and unrealized gain (loss)		(.03	)		.11			(.09	)		.24			.01			.14
Total from investment operations		.02			.23			.03			.37			.15			.29
Distributions to shareholders from:
Net investment income		(.07	)		(.14	)		(.15	)		(.15	)		(.16	)		(.16	)
Net realized gain		(.01	)		(.04	)		(.05	)		(.02	)		–			–
Total distributions		(.08	)		(.18	)		(.20	)		(.17	)		(.16	)		(.16	)
Net asset value, end of period		$2.86			$2.92			$2.87			$3.04			$2.84			$2.85
Total Return(b)		.74	%(c)		8.57	%		1.02	%		13.60	%		5.20	%		11.12	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.29	%(c)		.58	%		.58	%		.60	%		.67	%		.68	%
Expenses, including expense reductions, management fee waived and expenses reimbursed		.29	%(c)		.58	%		.58	%		.60	%		.67	%		.68	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.34	%(c)		.68	%		.68	%		.67	%		.67	%		.68	%
Net investment income		1.90	%(c)		3.98	%		4.08	%		4.41	%		4.88	%		5.47	%
Supplemental Data:
Net assets, end of period (000)		$133,122			$132,086			$89,227			$83,794			$49,234			$21,101
Portfolio turnover rate		83.12	%(c)		211.63	%		272.37	%		265.29	%		149.28	%		158.33	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

234 See Notes to Financial Statements.

Financial Highlights (continued)

INCOME FUND

	Class R2 Shares
	Six Months
	Ended
	5/31/2015			Year Ended 11/30
	(unaudited)			2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period		$2.95			$2.90			$3.07			$2.86			$2.88			$2.75
Investment operations:
Net investment income(a)		.05			.10			.10			.11			.13			.16
Net realized and unrealized gain (loss)		(.04	)		.12			(.09	)		.26			(.01	)		.14
Total from investment operations		.01			.22			.01			.37			.12			.30
Distributions to shareholders from:
Net investment income		(.06	)		(.13	)		(.13	)		(.14	)		(.14	)		(.17	)
Net realized gain		(.01	)		(.04	)		(.05	)		(.02	)		–			–
Total distributions		(.07	)		(.17	)		(.18	)		(.16	)		(.14	)		(.17	)
Net asset value, end of period		$2.89			$2.95			$2.90			$3.07			$2.86			$2.88
Total Return(b)		.47	%(c)		7.90	%		.47	%		13.25	%		4.24	%		11.03	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.59	%(c)		1.18	%		1.18	%		1.18	%		1.27	%		.72	%
Expenses, including expense reductions, management fee waived and expenses reimbursed		.59	%(c)		1.18	%		1.18	%		1.18	%		1.27	%		.72	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.64	%(c)		1.28	%		1.28	%		1.27	%		1.27	%		.73	%
Net investment income		1.61	%(c)		3.39	%		3.49	%		3.71	%		4.37	%		5.54	%
Supplemental Data:
Net assets, end of period (000)		$4,701			$4,704			$2,831			$1,248			$314			$13
Portfolio turnover rate		83.12	%(c)		211.63	%		272.37	%		265.29	%		149.28	%		158.33	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 235

Financial Highlights (concluded)

INCOME FUND

	Class R3 Shares
	Six Months
	Ended
	5/31/2015			Year Ended 11/30
	(unaudited)			2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period		$2.93			$2.88			$3.05			$2.85			$2.87			$2.73
Investment operations:
Net investment income(a)		.05			.10			.11			.12			.13			.14
Net realized and unrealized gain (loss)		(.04	)		.12			(.09	)		.24			(.01	)		.15
Total from investment operations		.01			.22			.02			.36			.12			.29
Distributions to shareholders from:
Net investment income		(.06	)		(.13	)		(.14	)		(.14	)		(.14	)		(.15	)
Net realized gain		(.01	)		(.04	)		(.05	)		(.02	)		–			–
Total distributions		(.07	)		(.17	)		(.19	)		(.16	)		(.14	)		(.15	)
Net asset value, end of period		$2.87			$2.93			$2.88			$3.05			$2.85			$2.87
Total Return(b)		.50	%(c)		8.04	%		.55	%		13.05	%		4.36	%		10.97	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.54	%(c)		1.08	%		1.08	%		1.07	%		1.15	%		1.17	%
Expenses, including expense reductions, management fee waived and expenses reimbursed		.54	%(c)		1.08	%		1.08	%		1.07	%		1.15	%		1.17	%
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.59	%(c)		1.18	%		1.18	%		1.16	%		1.15	%		1.18	%
Net investment income		1.66	%(c)		3.49	%		3.61	%		3.87	%		4.43	%		4.83	%
Supplemental Data:
Net assets, end of period (000)		$62,154			$50,081			$29,622			$14,927			$3,231			$1,340
Portfolio turnover rate		83.12	%(c)		211.63	%		272.37	%		265.29	%		149.28	%		158.33	%

(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

236 See Notes to Financial Statements.

Financial Highlights

INFLATION FOCUSED FUND

	Class A Shares
	Six Months
	Ended												4/20/2011
	5/31/2015			Year Ended 11/30									to
	(unaudited)			2014			2013			2012			11/30/2011(a)
Per Share Operating Performance
Net asset value, beginning of period		$13.33			$14.18			$14.92			$14.31			$15.00
Investment operations:
Net investment income(b)		.14			.29			.27			.34			.22
Net realized and unrealized gain (loss)		(.38	)		(.63	)		(.51	)		.83			(.56	)
Total from investment operations		(.24	)		(.34	)		(.24	)		1.17			(.34	)
Distributions to shareholders from:
Net investment income		(.26	)		(.51	)		(.50	)		(.56	)		(.35	)
Net asset value, end of period		$12.83			$13.33			$14.18			$14.92			$14.31
Total Return(c)		(1.81	)%(d)		(2.47	)%		(1.60	)%		8.33	%		(2.26	)%(d)
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.37	%(d)		.75	%		.75	%		.75	%		.78	%(e)
Expenses, including expense reductions, management fee waived and expenses reimbursed		.37	%(d)		.75	%		.75	%		.75	%		.78	%(e)
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.46	%(d)		.83	%		.78	%		.76	%		1.02	%(e)
Net investment income		1.09	%(d)		2.04	%		1.87	%		2.31	%		2.30	%(e)
Supplemental Data:
Net assets, end of period (000)		$407,250			$438,684			$460,665			$275,039			$101,695
Portfolio turnover rate		62.03	%(d)		79.03	%		75.69	%		90.15	%		83.71	%

(a)	Commencement of operations and SEC effective date was 4/20/2011. The shares first became available to the public on 5/2/2011.
(b)	Calculated using average shares outstanding during the period.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.
(e)	Annualized.

See Notes to Financial Statements. 237

Financial Highlights (continued)

INFLATION FOCUSED FUND

	Class C Shares
	Six Months
	Ended												4/20/2011
	5/31/2015			Year Ended 11/30									to
	(unaudited)			2014			2013			2012			11/30/2011(a)
Per Share Operating Performance
Net asset value, beginning of period		$13.35			$14.21			$14.94			$14.33			$15.00
Investment operations:
Net investment income(b)		.10			.19			.16			.22			.16
Net realized and unrealized gain (loss)		(.39	)		(.63	)		(.49	)		.84			(.56	)
Total from investment operations		(.29	)		(.44	)		(.33	)		1.06			(.40	)
Distributions to shareholders from:
Net investment income		(.22	)		(.42	)		(.40	)		(.45	)		(.27	)
Net asset value, end of period		$12.84			$13.35			$14.21			$14.94			$14.33
Total Return(c)		(2.18	)%(d)		(3.20	)%		(2.27	)%		7.49	%		(2.65	)%(d)
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.69	%(d)		1.45	%		1.50	%		1.53	%		1.49	%(e)
Expenses, including expense reductions, management fee waived and expenses reimbursed		.69	%(d)		1.45	%		1.50	%		1.53	%		1.49	%(e)
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.78	%(d)		1.54	%		1.53	%		1.54	%		1.66	%(e)
Net investment income		.78	%(d)		1.36	%		1.12	%		1.52	%		1.68	%(e)
Supplemental Data:
Net assets, end of period (000)		$77,097			$100,136			$139,952			$70,624			$17,226
Portfolio turnover rate		62.03	%(d)		79.03	%		75.69	%		90.15	%		83.71	%

(a)	Commencement of operations and SEC effective date was 4/20/2011. The shares first became available to the public on 5/2/2011.
(b)	Calculated using average shares outstanding during the period.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.
(e)	Annualized.

238 See Notes to Financial Statements.

Financial Highlights (continued)

INFLATION FOCUSED FUND

	Class F Shares
	Six Months
	Ended												4/20/2011
	5/31/2015			Year Ended 11/30									to
	(unaudited)			2014			2013			2012			11/30/2011(a)
Per Share Operating Performance
Net asset value, beginning of period		$13.34			$14.20			$14.93			$14.32			$15.00
Investment operations:
Net investment income(b)		.15			.30			.29			.34			.23
Net realized and unrealized gain (loss)		(.39	)		(.63	)		(.50	)		.84			(.55	)
Total from investment operations		(.24	)		(.33	)		(.21	)		1.18			(.32	)
Distributions to shareholders from:
Net investment income		(.26	)		(.53	)		(.52	)		(.57	)		(.36	)
Net asset value, end of period		$12.84			$13.34			$14.20			$14.93			$14.32
Total Return(c)		(1.76	)%(d)		(2.44	)%		(1.44	)%		8.43	%		(2.17	)%(d)
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.33	%(d)		.65	%		.65	%		.65	%		.64	%(e)
Expenses, including expense reductions, management fee waived and expenses reimbursed		.33	%(d)		.65	%		.65	%		.65	%		.64	%(e)
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.41	%(d)		.75	%		.68	%		.66	%		.83	%(e)
Net investment income		1.13	%(d)		2.15	%		1.96	%		2.35	%		2.52	%(e)
Supplemental Data:
Net assets, end of period (000)		$231,278			$324,163			$264,244			$153,471			$15,124
Portfolio turnover rate		62.03	%(d)		79.03	%		75.69	%		90.15	%		83.71	%

(a)	Commencement of operations and SEC effective date was 4/20/2011. The shares first became available to the public on 5/2/2011.
(b)	Calculated using average shares outstanding during the period.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.
(e)	Annualized.

See Notes to Financial Statements. 239

Financial Highlights (continued)

INFLATION FOCUSED FUND

	Class I Shares
	Six Months
	Ended												4/20/2011
	5/31/2015			Year Ended 11/30									to
	(unaudited)			2014			2013			2012			11/30/2011(a)
Per Share Operating Performance
Net asset value, beginning of period		$13.33			$14.18			$14.92			$14.30			$15.00
Investment operations:
Net investment income(b)		.15			.31			.30			.36			.25
Net realized and unrealized gain (loss)		(.38	)		(.62	)		(.51	)		.85			(.57	)
Total from investment operations		(.23	)		(.31	)		(.21	)		1.21			(.32	)
Distributions to shareholders from:
Net investment income		(.27	)		(.54	)		(.53	)		(.59	)		(.38	)
Net asset value, end of period		$12.83			$13.33			$14.18			$14.92			$14.30
Total Return(c)		(1.71	)%(d)		(2.27	)%		(1.42	)%		8.64	%		(2.17	)%(d)
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed		.27	%(d)		.55	%		.55	%		.55	%		.57	%(e)
Expenses, including expense reductions, management fee waived and expenses reimbursed		.27	%(d)		.55	%		.55	%		.55	%		.57	%(e)
Expenses, excluding expense reductions, management fee waived and expenses reimbursed		.37	%(d)		.64	%		.59	%		.56	%		.85	%(e)
Net investment income		1.18	%(d)		2.25	%		2.08	%		2.49	%		2.63	%(e)
Supplemental Data:
Net assets, end of period (000)		$141,916			$84,472			$62,716			$9,055			$1,159
Portfolio turnover rate		62.03	%(d)		79.03	%		75.69	%		90.15	%		83.71	%

(a)	Commencement of operations and SEC effective date was 4/20/2011. The shares first became available to the public on 5/2/2011.
(b)	Calculated using average shares outstanding during the period.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.
(e)	Annualized.

240 See Notes to Financial Statements.

Financial Highlights (continued)

INFLATION FOCUSED FUND

	Class R2 Shares
	Six Months
	Ended								4/20/2011
	5/31/2015		Year Ended 11/30						to
	(unaudited)		2014		2013		2012		11/30/2011(a)
Per Share Operating Performance
Net asset value, end of period	$13.32		$14.18		$14.92		$14.31		$15.00
Investment operations:
Net investment income(b)	.12		.24		.22		.36		.18
Net realized and unrealized gain (loss)	(.39	)	(.64	)	(.51	)	.84		(.54	)
Total from investment operations	(.27	)	(.40	)	(.29	)	1.20		(.36	)
Distributions to shareholders from:
Net investment income	(.23	)	(.46	)	(.45	)	(.59	)	(.33	)
Net asset value, end of period	$12.82		$13.32		$14.18		$14.92		$14.31
Total Return(c)	(2.00	)%(d)	(2.92	)%	(1.98	)%	8.56	%	(2.42	)%(d)
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.57	%(d)	1.15	%	1.13	%	.64	%	1.29	%(e)
Expenses, including expense reductions, management fee waived and expenses reimbursed	.57	%(d)	1.15	%	1.13	%	.64	%	1.29	%(e)
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.66	%(d)	1.25	%	1.18	%	1.09	%	6.08	%(e)
Net investment income	.90	%(d)	1.68	%	1.55	%	2.47	%	1.70	%(e)
Supplemental Data:
Net assets, end of period (000)	$364		$319		$194		$29		$10
Portfolio turnover rate	62.03	%(d)	79.03	%	75.69	%	90.15	%	83.71	%

(a)	Commencement of operations and SEC effective date was 4/20/2011. The shares first became available to the public on 5/2/2011.
(b)	Calculated using average shares outstanding during the period.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.
(e)	Annualized.

See Notes to Financial Statements. 241

Financial Highlights (concluded)

INFLATION FOCUSED FUND

	Class R3 Shares
	Six Months
	Ended								4/20/2011
	5/31/2015		Year Ended 11/30						to
	(unaudited)		2014		2013		2012		11/30/2011(a)
Per Share Operating Performance
Net asset value, beginning of period	$13.33		$14.18		$14.92		$14.31		$15.00
Investment operations:
Net investment income(b)	.12		.25		.23		.34		.19
Net realized and unrealized gain (loss)	(.39	)	(.63	)	(.51	)	.83		(.54	)
Total from investment operations	(.27	)	(.38	)	(.28	)	1.17		(.35	)
Distributions to shareholders from:
Net investment income	(.24	)	(.47	)	(.46	)	(.56	)	(.34	)
Net asset value, end of period	$12.82		$13.33		$14.18		$14.92		$14.31
Total Return(c)	(2.02	)%(d)	(2.75	)%	(1.89	)%	8.37	%	(2.36	)%(d)
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed	.52	%(d)	1.05	%	1.04	%	.82	%	1.19	%(e)
Expenses, including expense reductions, management fee waived and expenses reimbursed	.52	%(d)	1.05	%	1.04	%	.82	%	1.19	%(e)
Expenses, excluding expense reductions, management fee waived and expenses reimbursed	.61	%(d)	1.15	%	1.09	%	1.05	%	5.98	%(e)
Net investment income	.94	%(d)	1.78	%	1.62	%	2.31	%	1.80	%(e)
Supplemental Data:
Net assets, end of period (000)	$248		$202		$108		$28		$10
Portfolio turnover rate	62.03	%(d)	79.03	%	75.69	%	90.15	%	83.71	%

(a)	Commencement of operations and SEC effective date was 4/20/2011. The shares first became available to the public on 5/2/2011.
(b)	Calculated using average shares outstanding during the period.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.
(e)	Annualized.

242 See Notes to Financial Statements.

Financial Highlights

SHORT DURATION INCOME FUND

	Class A Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$4.50		$4.57		$4.65		$4.53		$4.64		$4.57
Investment operations:
Net investment income(a)	.05		.10		.11		.13		.15		.17
Net realized and unrealized gain (loss)	—	(b)	.01		(.02	)	.18		(.03	)	.12
Total from investment operations	.05		.11		.09		.31		.12		.29
Distributions to shareholders from:
Net investment income	(.09	)	(.17	)	(.17	)	(.19	)	(.20	)	(.20	)
Net realized gain	—		(.01	)	—	(b)	—		(.03	)	(.02	)
Total distributions	(.09	)	(.18	)	(.17	)	(.19	)	(.23	)	(.22	)
Net asset value, end of period	$4.46		$4.50		$4.57		$4.65		$4.53		$4.64
Total Return(c)	1.04	%(d)	2.30	%	1.98	%	6.91	%	2.58	%	6.38	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including expenses reimbursed	.29	%(d)	.59	%	.58	%	.59	%	.59	%	.60	%
Expenses, including expense reductions and expenses reimbursed	.29	%(d)	.59	%	.58	%	.58	%	.59	%	.60	%
Expenses, excluding expense reductions and expenses reimbursed	.29	%(d)	.59	%	.58	%	.59	%	.59	%	.60	%
Net investment income	1.14	%(d)	2.23	%	2.29	%	2.84	%	3.18	%	3.63	%
Supplemental Data:
Net assets, end of period (000)	$12,262,679		$13,157,575		$13,290,303		$11,281,965		$7,174,057		$5,280,795
Portfolio turnover rate	26.98	%(d)	59.63	%	71.14	%	92.83	%	113.45	%	143.47	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

See Notes to Financial Statements. 243

Financial Highlights (continued)

SHORT DURATION INCOME FUND

	Class B Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$4.50		$4.58		$4.65		$4.53		$4.65		$4.58
Investment operations:
Net investment income(a)	.03		.07		.07		.10		.11		.14
Net realized and unrealized gain (loss)	—	(b)	(.01	)	(.01	)	.17		(.03	)	.11
Total from investment operations	.03		.06		.06		.27		.08		.25
Distributions to shareholders from:
Net investment income	(.07	)	(.13	)	(.13	)	(.15	)	(.17	)	(.16	)
Net realized gain	—		(.01	)	—	(b)	—		(.03	)	(.02	)
Total distributions	(.07	)	(.14	)	(.13	)	(.15	)	(.20	)	(.18	)
Net asset value, end of period	$4.46		$4.50		$4.58		$4.65		$4.53		$4.65
Total Return(c)	.64	%(d)	1.27	%	1.40	%	6.07	%	1.56	%	5.56	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including expenses reimbursed	.69	%(d)	1.39	%	1.38	%	1.39	%	1.39	%	1.40	%
Expenses, including expense reductions and expenses reimbursed	.69	%(d)	1.39	%	1.38	%	1.39	%	1.39	%	1.40	%
Expenses, excluding expense reductions and expenses reimbursed	.69	%(d)	1.39	%	1.38	%	1.39	%	1.39	%	1.40	%
Net investment income	.75	%(d)	1.45	%	1.51	%	2.11	%	2.42	%	2.94	%
Supplemental Data:
Net assets,end of period (000)	$22,598		$25,984		$31,667		$38,596		$42,947		$49,948
Portfolio turnover rate	26.98	%(d)	59.63	%	71.14	%	92.83	%	113.45	%	143.47	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

244 See Notes to Financial Statements.

Financial Highlights (continued)

SHORT DURATION INCOME FUND

	Class C Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$4.53		$4.60		$4.67		$4.55		$4.67		$4.60
Investment operations:
Net investment income(a)	.04		.07		.07		.10		.11		.13
Net realized and unrealized gain (loss)	(.02	)	.01		—	(b)	.18		(.03	)	.13
Total from investment operations	.02		.08		.07		.28		.08		.26
Distributions to shareholders from:
Net investment income	(.07	)	(.14	)	(.14	)	(.16	)	(.17	)	(.17	)
Net realized gain	—		(.01	)	—	(b)	—		(.03	)	(.02	)
Total distributions	(.07	)	(.15	)	(.14	)	(.16	)	(.20	)	(.19	)
Net asset value, end of period	$4.48		$4.53		$4.60		$4.67		$4.55		$4.67
Total Return(c)	.50	%(d)	1.63	%	1.51	%	6.17	%	1.63	%	5.55	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including expenses reimbursed	.62	%(d)	1.26	%	1.27	%	1.27	%	1.32	%	1.37	%
Expenses, including expense reductions and expenses reimbursed	.62	%(d)	1.26	%	1.27	%	1.27	%	1.32	%	1.37	%
Expenses, excluding expense reductions and expenses reimbursed	.62	%(d)	1.26	%	1.27	%	1.27	%	1.32	%	1.37	%
Net investment income	.82	%(d)	1.57	%	1.60	%	2.16	%	2.46	%	2.85	%
Supplemental Data:
Net assets, end of period (000)	$7,598,479		$8,058,228		$8,127,184		$7,254,175		$4,608,098		$3,499,490
Portfolio turnover rate	26.98	%(d)	59.63	%	71.14	%	92.83	%	113.45	%	143.47	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

See Notes to Financial Statements. 245

Financial Highlights (continued)

SHORT DURATION INCOME FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$4.50		$4.57		$4.64		$4.52		$4.64		$4.57
Investment operations:
Net investment income(a)	.05		.11		.11		.13		.15		.17
Net realized and unrealized gain (loss)	(.01	)	—		(.01	)	.18		(.03	)	.12
Total from investment operations	.04		.11		.10		.31		.12		.29
Distributions to shareholders from:
Net investment income	(.09	)	(.17	)	(.17	)	(.19	)	(.21	)	(.20	)
Net realized gain	—		(.01	)	—	(b)	—		(.03	)	(.02	)
Total distributions	(.09	)	(.18	)	(.17	)	(.19	)	(.24	)	(.22	)
Net asset value, end of period	$4.45		$4.50		$4.57		$4.64		$4.52		$4.64
Total Return(c)	.86	%(d)	2.40	%	2.30	%	7.02	%	2.45	%	6.48	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including expenses reimbursed	.24	%(d)	.49	%	.48	%	.49	%	.49	%	.50	%
Expenses, including expense reductions and expenses reimbursed	.24	%(d)	.49	%	.48	%	.49	%	.49	%	.50	%
Expenses, excluding expense reductions and expenses reimbursed	.24	%(d)	.49	%	.48	%	.49	%	.49	%	.50	%
Net investment income	1.19	%(d)	2.33	%	2.38	%	2.93	%	3.27	%	3.70	%
Supplemental Data:
Net assets, end of period (000)	$11,386,830		$12,099,079		$9,140,966		$7,293,545		$3,853,610		$2,382,845
Portfolio turnover rate	26.98	%(d)	59.63	%	71.14	%	92.83	%	113.45	%	143.47	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.

246 See Notes to Financial Statements.

Financial Highlights (continued)

SHORT DURATION INCOME FUND

	Class I Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$4.50		$4.57		$4.64		$4.52		$4.64		$4.57
Investment operations:
Net investment income(a)	.06		.11		.11		.14		.15		.18
Net realized and unrealized gain (loss)	(.02	)	.01		—	(b)	.18		(.03	)	.12
Total from investment operations	.04		.12		.11		.32		.12		.30
Distributions to shareholders from:
Net investment income	(.09	)	(.18	)	(.18	)	(.20	)	(.21	)	(.21	)
Net realized gain	—		(.01	)	—	(b)	—		(.03	)	(.02	)
Total distributions	(.09	)	(.19	)	(.18	)	(.20	)	(.24	)	(.23	)
Net asset value, end of period	$4.45		$4.50		$4.57		$4.64		$4.52		$4.64
Total Return(c)	.91	%(d)	2.50	%	2.40	%	7.12	%	2.55	%	6.59	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including expenses reimbursed	.19	%(d)	.39	%	.39	%	.39	%	.39	%	.40	%
Expenses, including expense reductions and expenses reimbursed	.19	%(d)	.39	%	.39	%	.39	%	.39	%	.40	%
Expenses, excluding expense reductions and expenses reimbursed	.19	%(d)	.39	%	.39	%	.39	%	.39	%	.40	%
Net investment income	1.24	%(d)	2.42	%	2.47	%	2.99	%	3.35	%	3.82	%
Supplemental Data:
Net assets, end of period (000)	$4,426,996		$4,461,188		$3,341,231		$1,888,389		$642,022		$252,030
Portfolio turnover rate	26.98	%(d)	59.63	%	71.14	%	92.83	%	113.45	%	143.47	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.

See Notes to Financial Statements. 247

Financial Highlights (continued)

SHORT DURATION INCOME FUND

	Class R2 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$4.50		$4.58		$4.65		$4.53		$4.64		$4.58
Investment operations:
Net investment income(a)	.04		.08		.09		.11		.13		.15
Net realized and unrealized gain (loss)	—	(b)	—		(.01	)	.18		(.03	)	.11
Total from investment operations	.04		.08		.08		.29		.10		.26
Distributions to shareholders from:
Net investment income	(.08	)	(.15	)	(.15	)	(.17	)	(.18	)	(.18	)
Net realized gain	—		(.01	)	—	(b)	—		(.03	)	(.02	)
Total distributions	(.08	)	(.16	)	(.15	)	(.17	)	(.21	)	(.20	)
Net asset value, end of period	$4.46		$4.50		$4.58		$4.65		$4.53		$4.64
Total Return(c)	.84	%(d)	1.68	%	1.81	%	6.49	%	2.18	%	5.73	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including expenses reimbursed	.49	%(d)	.99	%	.98	%	.99	%	.99	%	1.00	%
Expenses, including expense reductions and expenses reimbursed	.49	%(d)	.99	%	.98	%	.99	%	.99	%	1.00	%
Expenses, excluding expense reductions and expenses reimbursed	.49	%(d)	.99	%	.98	%	.99	%	.99	%	1.00	%
Net investment income	.95	%(d)	1.84	%	1.90	%	2.45	%	2.78	%	3.21	%
Supplemental Data:
Net assets, end of period (000)	$20,344		$19,241		$13,412		$10,575		$4,883		$1,613
Portfolio turnover rate	26.98	%(d)	59.63	%	71.14	%	92.83	%	113.45	%	143.47	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.

248 See Notes to Financial Statements.

Financial Highlights (concluded)

SHORT DURATION INCOME FUND

	Class R3 Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$4.50		$4.58		$4.65		$4.53		$4.65		$4.58
Investment operations:
Net investment income(a)	.04		.09		.09		.12		.13		.15
Net realized and unrealized gain (loss)	—	(b)	(.01	)	—	(b)	.18		(.03	)	.13
Total from investment operations	.04		.08		.09		.30		.10		.28
Distributions to shareholders from:
Net investment income	(.08	)	(.15	)	(.16	)	(.18	)	(.19	)	(.19	)
Net realized gain	—		(.01	)	—	(b)	—		(.03	)	(.02	)
Total distributions	(.08	)	(.16	)	(.16	)	(.18	)	(.22	)	(.21	)
Net asset value, end of period	$4.46		$4.50		$4.58		$4.65		$4.53		$4.65
Total Return(c)	.89	%(d)	1.78	%	1.91	%	6.61	%	2.09	%	6.07	%
Ratios to Average Net Assets:
Expenses, excluding expense reductions and including expenses reimbursed	.44	%(d)	.89	%	.88	%	.88	%	.87	%	.90	%
Expenses, including expense reductions and expenses reimbursed	.44	%(d)	.89	%	.88	%	.88	%	.87	%	.90	%
Expenses, excluding expense reductions and expenses reimbursed	.44	%(d)	.89	%	.88	%	.88	%	.87	%	.90	%
Net investment income	1.00	%(d)	1.94	%	2.00	%	2.53	%	2.94	%	3.28	%
Supplemental Data:
Net assets, end of period (000)	$173,061		$147,249		$107,003		$53,635		$17,885		$12,586
Portfolio turnover rate	26.98	%(d)	59.63	%	71.14	%	92.83	%	113.45	%	143.47	%

(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.

See Notes to Financial Statements. 249

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on August 16, 1993.

The Trust currently consists of twelve funds. This report covers the following six funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes during the six months ended May 31, 2015:

Funds	Classes
Lord Abbett Convertible Fund (“Convertible Fund”)	A, B, C, F, I, P, R2 and R3
Lord Abbett Floating Rate Fund (“Floating Rate Fund”)	A, C, F, I, R2 and R3
Lord Abbett High Yield Fund (“High Yield Fund”)	A, B, C, F, I, P, R2 and R3
Lord Abbett Income Fund (“Income Fund”)	A, B, C, F, I, R2 and R3
Lord Abbett Inflation Focused Fund (“Inflation Focused Fund”)	A, C, F, I, R2 and R3
Lord Abbett Short Duration Income Fund (“Short Duration Income Fund”)	A, B, C, F, I, R2 and R3

The Funds no longer issue Class B shares for purchase. The Funds’ Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Funds’ prospectus. As of the date of this report, Income Fund and Short Duration Income Fund have not issued Class P shares. Effective June 30, 2015, each of the Funds issued and commenced operations of three share classes: Class R4, Class R5 and Class R6.

Convertible Fund’s investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. Floating Rate Fund’s investment objective is to seek a high level of current income. High Yield Fund’s investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. Each of Income Fund’s and Short Duration Income Fund’s investment objective is to seek a high level of income consistent with preservation of capital. Inflation Focused Fund’s primary investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle. As a secondary objective, the Fund seeks current income.

Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

250

Notes to Financial Statements (unaudited)(continued)

2. SIGNIFICANT ACCOUNTING POLICIES  

(a) Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. Each Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available.

Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee.

Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.

(b) Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.

251

Notes to Financial Statements (unaudited)(continued)

(c) Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.

(d) Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2011 through November 30, 2014. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

(e) Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan.

(f) Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on futures contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions on each Fund’s Statement of Operations. Each Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.

The Funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

(g) Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on futures contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars

252

Notes to Financial Statements (unaudited)(continued)

upon closing of such contracts is included in Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions on each Fund’s Statement of Operations.

(h) Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.

(i) When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–Each Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at each Fund’s custodian in order to pay for the commitment. At the time each Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. Each Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date.

(j) Mortgage Dollar Rolls–Each Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, each Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold.

(k) Commercial Paper–Each Fund may purchase commercial paper. Commercial paper consists of unsecured promissory notes issued by corporations to finance short-term credit needs. Commercial paper is issued in bearer form with maturities generally not exceeding nine months. Commercial paper obligations may include variable amount master demand notes.

(l) Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities.

253

Notes to Financial Statements (unaudited)(continued)

(m) Reverse Repurchase Agreements–Each Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund sells a security to a securities dealer or bank for cash and also agrees to repurchase the same security later at a set price. Reverse repurchase agreements expose the Fund to credit risk (that is, the risk that the counterparty will fail to resell the security to the Fund). Engaging in reverse repurchase agreements also may involve the use of leverage, in that the Fund may reinvest the cash it receives in additional securities. Reverse repurchase agreements involve the risk that the market value of the securities to be repurchased by the Fund may decline below the repurchase price.

(n) Floating Rate Loans–Each Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. A Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).

The loans in which each Fund invests may be subject to some restrictions on resale. For example, each Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. Each Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, each Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, each Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.

Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of May 31, 2015, the following Funds had unfunded loan commitments:

Security Name			Fund Name
					Short
	High Yield		Income		Duration
	Fund		Fund		Income Fund
Informatica Corp. Bridge Term Loan	$	4,058,000	$	942,000		$ 15,058,000
Rite Aid Corp. Bridge Term Loan		11,250,000		2,100,000		35,400,000
Total	$	15,308,000	$	3,042,000		$ 50,458,000

254

Notes to Financial Statements (unaudited)(continued)

(o) Inflation-Linked Derivatives–Inflation Focused Fund may invest in inflation-linked derivatives, such as Consumer Price Index Swap Agreements (“CPI swaps”). A CPI swap is a contract in which one party agrees to pay a fixed rate in exchange for a variable rate, which is the rate of change in the CPI during the life of the contract. Payments are based on a notional amount of principal. The Fund will normally enter into CPI swap contracts on a zero coupon basis, meaning that the floating rate will be based on the cumulative CPI during the life of the contract, and the fixed rate will compound until the swap’s maturity date, at which point the payments are netted. The swaps are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on futures contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap is recorded in realized gain (loss) and is included in Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions on the Fund’s Statement of Operations.

(p) Credit Default Swaps–High Yield Fund, Inflation Focused Fund and Short Duration Income Fund may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty a periodic stream of payments over the term of the contract.

As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred.

These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, High Yield Fund, Inflation Focused Fund and Short Duration Income Fund entered into credit default swaps based on CMBX indices, which are comprised of commercial mortgage-backed securities.

Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund.

Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk

255

Notes to Financial Statements (unaudited)(continued)

may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.

Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based.

(q) Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty.

(r) Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

•	Level 1 –	unadjusted quoted prices in active markets for identical investments;
•	Level 2 –	other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and
•	Level 3 –	significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

A summary of inputs used in valuing each Fund’s investments and other financial instruments as of May 31, 2015 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments.

256

Notes to Financial Statements (unaudited)(continued)

Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.

The management fee is based on each Fund’s average daily net assets at the following annual rates:

Convertible Fund		Floating Rate Fund
First $1 billion	.70%	First $1 billion	.50%
Next $1 billion	.60%	Over $1 billion	.45%
Over $2 billion	.57%
High Yield Fund
First $1 billion	.60%
Next $1 billion	.55%
Over $2 billion	.50%
Income Fund
Effective April 1, 2015		Prior to April 1, 2015
First $2.5 billion	.50%	First $3 billion	.50%
Next $1.5 billion	.45%	Over $3 billion	.45%
Over $4 billion	.40%
Inflation Focused Fund		Short Duration Income Fund
First $2 billion	.40%	First $1 billion	.35%
Next $3 billion	.375%	Next $1 billion	.30%
Over $5 billion	.35%	Over $2 billion	.25%

For the six months ended May 31, 2015, the effective management fee, net of waivers, was the following annualized rate of each Fund’s average daily net assets:

Net Effective Management Fee
Convertible Fund	.67%
Floating Rate Fund	.46%
High Yield Fund	.54%
Income Fund	.41%
Inflation Focused Fund	.22%
Short Duration Income Fund	.25%

In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets.

During the six months ended May 31, 2015 and continuing through March 31, 2016, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit the total net annual operating expenses, excluding 12b-1 fees, to the following annual rates:

257

Notes to Financial Statements (unaudited)(continued)

Fund	Rate
Convertible Fund		.86	%
High Yield		.78	%
Income Fund		.58	%
Inflation Focused Fund		.55	%

All contractual fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon the approval of the Board.

The Funds, along with certain other funds managed by Lord Abbett (collectively, the “Underlying Funds”), have entered into a Servicing Arrangement with certain “Fund of Funds” managed by Lord Abbett, pursuant to which each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of each Fund of Funds in proportion to the average daily value of the Underlying Fund shares owned by each Fund of Funds. Amounts paid pursuant to the Servicing Arrangement, if applicable, are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliates on each Fund’s Statement of Assets and Liabilities.

As of May 31, 2015, the percentages of Convertible Fund’s, High Yield Fund’s and Short Duration Income Fund’s outstanding shares owned by each Fund of Funds were as follows:

	Underlying Funds
						Short
	Convertible		High Yield			Duration
Fund of Funds	Fund		Fund			Income Fund
Lord Abbett Multi-Asset Balanced Opportunity Fund		28.18%		11.23	%		0.25	%
Lord Abbett Multi-Asset Global Opportunity Fund		–		1.06	%		0.01	%
Lord Abbett Multi-Asset Growth Fund		–		6.49	%		0.15	%
Lord Abbett Multi-Asset Income Fund		31.12%		18.68	%		1.70	%

12b-1 Distribution Plan

Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:

Fees*	Class A	Class B	Class C(1)	Class F	Class P	Class R2	Class R3
Service	.15%	.25%	.25%	—	.25%	.25%	.25%
Distribution	.05%	.75%	.75%	.10%	.20%	.35%	.25%

*	Each Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations.
(1)	The 12b-1 fees each Fund pays on Class C shares is a blended rate based on 1.00% of each Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.25% service, .55% distribution) of each Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of a Fund will bear 12b-1 fees at the same rate.

Class I shares do not have a distribution plan.

Commissions

Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended May 31, 2015:

258

Notes to Financial Statements (unaudited)(continued)

	Distributor			Dealers’
	Commissions			Concessions
Convertible Fund		$	5,342		$	33,141
Floating Rate Fund			89,629			540,462
High Yield Fund			52,170			321,740
Income Fund			65,115			340,708
Inflation Focused Fund			2,158			11,983
Short Duration Income Fund			484,220			3,041,222

Distributor received the following amount of CDSCs for the six months ended May 31, 2015:

	Class A		Class C
Convertible Fund	$	23,738	$	5,004
Floating Rate Fund		165,308		117,767
High Yield Fund		42,627		43,716
Income Fund		30,316		20,743
Inflation Focused Fund		1,037		5,417
Short Duration Income Fund		950,844		829,507

A Trustee and certain of the Trust’s officers have an interest in Lord Abbett.

4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS  

Dividends from net investment income, if any, are declared daily and paid monthly for Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund and Short Duration Income Fund and declared and paid quarterly for Convertible Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.

The tax character of distributions paid during the six months ended May 31, 2015 and fiscal year ended November 30, 2014 was as follows:

		Convertible Fund					Floating Rate Fund
	Six Months Ended					Six Months Ended
		5/31/2015		Year Ended			5/31/2015		Year Ended
		(unaudited)		11/30/2014			(unaudited)		11/30/2014
Distributions paid from:
Ordinary income			$ 61,712,680		$ 34,602,406			$ 144,512,386		$ 394,636,784
Net long-term capital gains			32,175,752		22,077,107			–		–
Total distributions paid			$ 93,888,432		$ 56,679,513			$ 144,512,386		$ 394,636,784

259

Notes to Financial Statements (unaudited)(continued)

		High Yield Fund					Income Fund
	Six Months Ended					Six Months Ended
		5/31/2015		Year Ended			5/31/2015		Year Ended
		(unaudited)		11/30/2014			(unaudited)		11/30/2014
Distributions paid from:
Ordinary income			$ 159,024,324		$ 242,358,308			$ 55,457,232		$   86,565,412
Net long-term capital gains			45,174,048		43,575,793			2,744,503		27,710,880
Total distributions paid			$ 204,198,372		$ 285,934,101			$ 58,201,735		$ 114,276,292

		Inflation Focused Fund					Short Duration Income Fund
	Six Months Ended					Six Months Ended
		5/31/2015		Year Ended			5/31/2015		Year Ended
		(unaudited)		11/30/2014			(unaudited)		11/30/2014
Distributions paid from:
Ordinary income			$ 16,576,889		$ 34,044,209			$ 686,921,663		$1,280,174,813
Net long-term capital gains			–		–			–		35,888,850
Total distributions paid			$ 16,576,889		$ 34,044,209			$ 686,921,663		$1,316,063,663

As of November 30, 2014, the capital loss carryforwards, along with the related expiration dates, were as follows:

	Indefinite
Floating Rate Fund	$	4,225,324
Inflation Focused Fund		11,789,133
Short Duration Income Fund		163,572,232

In accordance with the Regulated Investment Company Modernization Act of 2010, each Fund will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term.

As of May 31, 2015, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Convertible Fund				Floating Rate Fund				High Yield Fund
Tax cost		$	822,488,257			$	7,114,977,603			$	4,512,961,330
Gross unrealized gain			48,739,365				36,069,237				113,840,563
Gross unrealized loss			(19,987,830	)			(101,050,956	)			(98,169,336	)
Net unrealized security gain (loss)		$	28,751,535			$	(64,981,719	)		$	15,671,227
							Inflation		Short Duration
	Income Fund				Focused Fund				Income Fund
Tax cost		$	2,253,456,809			$	874,551,546			$	36,283,853,003
Gross unrealized gain			36,861,432				4,328,130				214,337,657
Gross unrealized loss			(27,063,590	)			(20,302,951	)			(757,962,208	)
Net unrealized security gain (loss)		$	9,797,842			$	(15,974,821	)		$	(543,624,551	)

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities, amortization of premium and wash sales.

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2015 were as follows:

260

Notes to Financial Statements (unaudited)(continued)

	U.S.		Non-U.S.		U.S.		Non-U.S.
	Government		Government		Government		Government
	Purchases*		Purchases		Sales*		Sales
Convertible Fund	$	–	$	751,537,716	$	–	$	767,604,154
Floating Rate Fund		–		2,345,972,627		–		2,906,756,331
High Yield Fund		–		2,128,778,018		–		1,710,361,562
Income Fund		1,086,045,791		853,235,631		1,167,005,418		633,879,639
Inflation Focused Fund		31,791,855		231,870,045		46,943,882		256,494,948
Short Duration Income Fund		1,331,240,477		8,149,588,813		1,245,239,216		8,801,671,304

* Includes U.S. Government sponsored enterprises securities.

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

Each Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2015 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Funds’ exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Funds’ returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts and deposits with brokers as collateral.

Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund and Short Duration Income Fund entered into U.S. Treasury futures contracts for the six months ended May 31, 2015 (as described in note 2(h)) to hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

Inflation Focused Fund entered into CPI swaps for the six months ended May 31, 2015 (as described in note 2(o)) to speculate the rate of inflation in the U.S. economy. The Fund’s use of CPI swaps involves the risk that Lord Abbett will not accurately predict expectations of inflation or interest rates, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on CPI swaps.

High Yield Fund, Inflation Focused Fund and Short Duration Income Fund entered into credit default swaps for the six months ended May 31, 2015 (as described in note 2(p)) for investment purposes, to hedge credit risk or for speculative purposes. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions

261

Notes to Financial Statements (unaudited)(continued)

in the Statements of Operations. Each Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract.

Income Fund, Inflation Focused Fund and Short Duration Income Fund entered into a total return swap during the six months ended May 31, 2015 (as described in note 2(q)) to obtain exposure to an issuer (the Reference Entity). Each Fund’s use of total return swaps involve the risk that Lord Abbett will not accurately predict expectations of market value of the Reference Entity, and each Fund’s returns could be reduced as a result. Each Fund’s risk of loss from counterparty credit risk is the notional value of the contract.

As of May 31, 2015, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:

		Floating Rate Fund
				Foreign
	Interest Rate			Currency
Asset Derivatives		Contracts		Contracts
Forward Foreign Currency Exchange Contracts(1)			–	$	547,843
Futures Contracts(2)		$	110,359		–
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)			–	$	1,179,892
Futures Contracts(2)		$	301,326		–
				High Yield Fund
				Foreign
	Interest Rate			Currency		Credit
Asset Derivatives		Contracts		Contracts		Contracts
Credit Default Swaps(4)			–		–	$	302,357
Forward Foreign Currency Exchange Contracts(1)			–	$	1,587,604		–
Futures Contracts(2)		$	518,177		–		–
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)			–	$	1,602,992		–
			Income Fund
				Foreign
	Interest Rate			Currency
Asset Derivatives		Contracts		Contracts
Forward Foreign Currency Exchange Contracts(1)			–	$	2,844,854
Futures Contracts(2)		$	2,529,861		–
Liability Derivatives
Forward Foreign Currency Exchange Contracts(3)			–	$	3,523,344
Futures Contracts(2)		$	1,690,553		–

262

Notes to Financial Statements (unaudited)(continued)

				Inflation Focused Fund
				Foreign		Inflation
	Interest Rate			Currency		Linked		Credit
Asset Derivatives		Contracts		Contracts		Contracts		Contracts
CPI Swaps(5)			–		–	$	10,670,083		–
Forward Foreign Currency Exchange Contracts(1)			–		$ 23,226		–		–
Futures Contracts(2)			$ 198,256		–		–		–
Liability Derivatives
CPI Swaps(6)			–		–	$	105,620,135		–
Credit Default Swaps(7)			–		–		–		$ 18,349
Forward Foreign Currency Exchange Contracts(3)			–		$   5,733		–		–
Futures Contracts(2)			$   96,221		–		–		–

		Short Duration Income Fund
				Foreign
	Interest Rate			Currency		Credit
Asset Derivatives		Contracts		Contracts		Contracts
Forward Foreign Currency Exchange Contracts(1)			–		$ 542,253		–
Futures Contracts(2)			$ 7,604,835		–		–
Liability Derivatives
Credit Default Swaps(7)			–		–		$ 646,891
Forward Foreign Currency Exchange Contracts(3)			–		$ 229,332		–
Futures Contracts(2)			$    291,289		–		–

(1)	Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.
(2)	Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
(3)	Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.
(4)	Statements of Assets and Liabilities location: Credit default swap agreement receivable, at fair value.
(5)	Statements of Assets and Liabilities location: Unrealized appreciation on CPI swaps.
(6)	Statements of Assets and Liabilities location: Unrealized depreciation on CPI swaps.
(7)	Statements of Assets and Liabilities location: Credit default swap agreements payable, at fair value.

263

Notes to Financial Statements (unaudited)(continued)

Transactions in derivative instruments for the six months ended May 31, 2015, were as follows:

	Convertible Fund				Floating Rate Fund
		Foreign			Interest			Foreign
		Currency			Rate			Currency
		Contracts			Contracts			Contracts
Net Realized Gain (Loss)(1)
Forward Foreign Currency Exchange Contracts			$    223,808			–			$   14,848,330
Futures Contracts			–			$ (2,431,349	)		–
Net Change in Unrealized Appreciation/Depreciation(2)
Forward Foreign Currency Exchange Contracts			$   (162,579	)		–			$    (3,692,375	)
Futures Contracts			–			$  1,019,701			–
Average Number of Contracts/Notional Amounts*
Forward Foreign Currency Exchange Contracts(3)			$ 2,484,519			–			$ 139,056,869
Futures Contracts(4)			–			883			–

				High Yield Fund
					Foreign
	Interest Rate				Currency			Credit
		Contracts			Contracts			Contracts
Net Realized Gain (Loss)(1)
Credit Default Swaps			–			–			$      86,253
Forward Foreign Currency Exchange Contracts			–			$   13,013,882			–
Futures Contracts			$ (769,227	)		–			–
Net Change in Unrealized Appreciation/Depreciation(2)
Credit Default Swaps			–			–			$    135,700
Forward Foreign Currency Exchange Contracts			–			$    (1,669,138	)		–
Futures Contracts			$  518,177			–			–
Average Number of Contracts/Notional Amounts*
Credit Default Swaps(3)			–			–			$ 3,000,000
Forward Foreign Currency Exchange Contracts(3)			–			$ 185,074,191			–
Futures Contracts(4)			524			–			–

264

Notes to Financial Statements (unaudited)(continued)

					Income Fund
					Foreign
	Interest Rate				Currency			Credit
		Contracts			Contracts			Contracts
Net Realized Gain (Loss)(1)
Forward Foreign Currency Exchange Contracts			–			$  (14,171,975	)		–
Futures Contracts			$   (443,341	)		–			–
Total Returns Swaps			–			–			$ (45,395)
Net Change in Unrealized Appreciation/Depreciation(2)
Forward Foreign Currency Exchange Contracts			–			$     4,040,165			–
Futures Contracts			$ 1,926,478			–			–
Total Returns Swaps			–			–			–
Average Number of Contracts/Notional Amounts*
Forward Foreign Currency Exchange Contracts(3)			–			$ 296,485,741			–
Futures Contracts(4)			8,540			–			–
Total Returns Swaps(3)			–			–			$  122,350

Inflation Focused Fund

Foreign

Inflation

Interest Rate

Currency

Linked

Credit

Contracts

Contracts

Contracts

Contracts

Net Realized Gain (Loss)(1)

CPI Swaps

–

–

$

(10,675,223

)

–

Credit Default Swaps

–

–

–

$

7,868

Forward Foreign Currency

Exchange Contracts

–

$

266,371

–

–

Futures Contracts

$

695,278

–

–

–

Total Returns Swaps

–

–

–

$

(5,642

)

Net Change in Unrealized Appreciation/Depreciation(2)

CPI Swaps

–

–

$

(12,415,140

)

–

Credit Default Swaps

–

–

–

$

13,748

Forward Foreign Currency

Exchange Contracts

–

$

15,582

–

–

Futures Contracts

$

(55,860

)

–

–

–

Total Returns Swaps

–

–

–

–

Average Number of Contracts/Notional Amounts*

CPI Swaps(3)

–

–

$

1,722,428,571

–

Credit Default Swaps(3)

–

–

–

$

7,400,000

Forward Foreign Currency

Exchange Contracts(3)

–

$

4,371,642

–

–

Futures Contracts(4)

1,211

–

–

–

Total Returns Swaps(3)

–

–

–

$

15,219

265

Notes to Financial Statements (unaudited)(continued)

				Short Duration Income Fund
					Foreign
	Interest Rate				Currency		Credit
	Contracts				Contracts		Contracts
Net Realized Gain (Loss)(1)
Credit Default Swaps		–				–	$	352,300
Forward Foreign Currency Exchange Contracts		–			$	8,196,534		–
Futures Contracts	$	26,204,885				–		–
Total Returns Swaps		–				–	$	(784,262	)
Net Change in Unrealized Appreciation/Depreciation(2)
Credit Default Swaps		–				–	$	584,787
Forward Foreign Currency Exchange Contracts		–			$	203,884		–
Futures Contracts	$	(2,298,946	)			–		–
Total Returns Swaps		–				–		–
Average Number of Contracts/Notional Amounts*
Credit Default Swaps(3)		–				–	$	294,300,000
Forward Foreign Currency Exchange Contracts(3)		–			$	139,689,532		–
Futures Contracts(4)		44,195				–		–
Total Returns Swaps(3)		–				–	$	2,113,672

*	Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2015.
(1)	Statements of Operations location: Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions.
(2)	Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies.
(3)	Amount represents notional amounts in U.S. dollars.
(4)	Amount represents number of contracts.

7. DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES 

The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011–11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013–01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013–01”), specifying which transactions are subject to disclosures about offsetting.

The following tables illustrate gross and net information about recognized assets eligible for offset in the statement of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:

266

Notes to Financial Statements (unaudited)(continued)

					Convertible Fund
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Repurchase Agreement	$	19,410,373	$	–	$	19,410,373
Total	$	19,410,373	$	–	$	19,410,373

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received(a)		Securities Collateral Received(a)			Net Amount(b)
Fixed Income Clearing Corp.	$	19,410,373	$	–	$	–	$	(19,410,373	)	$	–
Total	$	19,410,373	$	–	$	–	$	(19,410,373	)	$	–

					Floating Rate Fund
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	547,843	$	–	$	547,843
Repurchase Agreement		460,242,030		–		460,242,030
Total	$	460,789,873	$	–	$	460,789,873

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received(a)		Securities Collateral Received(a)			Net Amount(b)
Fixed Income Clearing Corp.	$	460,242,030	$	–		$	–	$	(460,242,030	)	$	–
Morgan Stanley		528,929		(528,929	)		–		–			–
UBS AG		18,914		(12,047	)		–		–			6,867
Total	$	460,789,873	$	(540,976	)	$	–	$	(460,242,030	)	$	6,867

Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	1,179,892	$	–	$	1,179,892
Total	$	1,179,892	$	–	$	1,179,892

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged(a)		Securities Collateral Pledged(a)		Net Amount(c)
Morgan Stanley	$	1,167,845	$	(528,929	)	$	–	$	–	$	638,916
UBS AG		12,047		(12,047	)		–		–		–
Total	$	1,179,892	$	(540,976	)	$	–	$	–	$	638,916

267

Notes to Financial Statements (unaudited)(continued)

					High Yield Fund
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Credit Default Swap	$	302,357	$	–	$	302,357
Forward Foreign Currency Exchange Contracts		1,587,604		–		1,587,604
Repurchase Agreement		69,562,774		–		69,562,774
Total	$	71,452,735	$	–	$	71,452,735

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received(a)			Securities Collateral Received(a)			Net Amount(b)
Citibank	$	302,357	$	–		$	(250,000	)	$	–		$	52,357
Fixed Income Clearing Corp.		69,562,774		–			–			(69,562,774	)		–
J.P. Morgan Chase		19,931		(19,931	)		–			–			–
Morgan Stanley		1,548,759		(16,979	)		(1,531,780	)		–			–
UBS AG		18,914		–			–			–			18,914
Total	$	71,452,735	$	(36,910	)	$	(1,781,780	)	$	(69,562,774	)	$	71,271

Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	1,602,992	$	–	$	1,602,992
Reverse Repurchase Agreement		3,198,281		–		3,198,281
Total	$	4,801,273	$	–	$	4,801,273

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged(a)			Securities Collateral Pledged(a)			Net Amount(c)
J.P. Morgan Chase	$	4,784,294	$	(19,931	)	$	(1,940,000	)	$	(2,824,363	)	$	–
Morgan Stanley		16,979		(16,979	)		–			–			–
Total	$	4,801,273	$	(36,910	)	$	(1,940,000)		$	(2,824,363	)	$	–

					Income Fund
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	2,844,854	$	–	$	2,844,854
Repurchase Agreement		78,253,227		–		78,253,227
Total	$	81,098,081	$	–	$	81,098,081

268

Notes to Financial Statements (unaudited)(continued)

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received(a)			Securities Collateral Received(a)			Net Amount(b)
Bank of America	$	228,357	$	(228,357	)	$	–		$	–		$	–
Barclays Bank plc		377,534		(377,534	)		–			–			–
Citibank		272,471		–			(255,000	)		–			17,471
Deutsche Bank AG		78,709		(78,709	)		–			–			–
Fixed Income Clearing Corp.		78,253,227		–			–			(78,253,227	)		–
Goldman Sachs		72,343		(72,343	)		–			–			–
J.P. Morgan Chase		1,444,756		(806,470	)		(638,286	)		–			–
Morgan Stanley		164,659		(164,659	)		–			–			–
UBS AG		206,025		–			–			(206,025	)		–
Total	$	81,098,081	$	(1,728,072	)	$	(893,286	)	$	(78,459,252	)	$	17,471

Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	3,523,344	$	–	$	3,523,344
Total	$	3,523,344	$	–	$	3,523,344

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged(a)			Securities Collateral Pledged(a)		Net Amount(c)
Bank of America	$	1,254,668	$	(228,357	)	$	(1,000,000	)	$	–	$	26,311
Barclays Bank plc		407,996		(377,534	)		–			–		30,462
Deutsche Bank AG		120,461		(78,709	)		–			–		41,752
Goldman Sachs		427,414		(72,343	)		(355,071	)		–		–
J.P. Morgan Chase		806,470		(806,470	)		–			–		–
Morgan Stanley		506,335		(164,659	)		(280,000	)		–		61,676
Total	$	3,523,344	$	(1,728,072	)	$	(1,635,071	)	$	–	$	160,201

					Inflation Focused Fund
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
CPI Swaps	$	10,670,083	$	–	$	10,670,083
Forward Foreign Currency Exchange Contracts		23,226		–		23,226
Repurchase Agreements		13,719,983		–		13,719,983
Total	$	24,413,292	$	–	$	24,413,292

269

Notes to Financial Statements (unaudited)(continued)

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received(a)		Securities Collateral Received(a)			Net Amount(b)
Bank of America	$	327,529	$	(327,529	)	$	–	$	–		$	–
Barclays Bank plc		3,176,964		(3,176,964	)		–		–			–
Credit Suisse		337,502		(337,502	)		–		–			–
Deutsche Bank AG		2,895,092		(2,895,092	)		–		–			–
Fixed Income Clearing Corp.		13,719,983		–			–		(13,719,983	)		–
Goldman Sachs		3,471,571		(3,471,571	)		–		–			–
J.P. Morgan Chase		466,097		(466,097	)		–		–			–
Morgan Stanley		18,554		(18,554	)		–		–			–
Total	$	24,413,292	$	(10,693,309	)	$	–	$	(13,719,983	)	$	–

Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
CPI Swaps	$	105,620,135	$	–	$	105,620,135
Credit Default Swaps		18,349		–		18,349
Forward Foreign Currency Exchange Contracts		5,733		–		5,733
Total	$	105,644,217	$	–	$	105,644,217

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged(a)			Securities Collateral Pledged(a)		Net Amount(c)
Bank of America	$	10,273,613	$	(327,529	)	$	(9,946,084	)	$	–	$	–
Barclays Bank plc		10,486,860		(3,176,964	)		(7,309,896	)		–		–
Credit Suisse		4,846,429		(337,502	)		(4,508,927	)		–		–
Deutsche Bank AG		34,478,782		(2,895,092	)		(31,583,690	)		–		–
Goldman Sachs		14,171,044		(3,471,571	)		(10,699,473	)		–		–
J.P. Morgan Chase		16,494,131		(466,097	)		(16,028,034	)		–		–
Morgan Stanley		4,297,668		(18,554	)		(4,190,000	)		–		89,114
Wells Fargo		10,595,690		–			(10,595,690	)		–		–
Total	$	105,644,217	$	(10,693,309	)	$	(94,861,794	)	$	–	$	89,114

					Short Duration Income Fund
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Assets Presented in the Statement of Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	542,253	$	–	$	542,253
Repurchase Agreement		299,903,872		–		299,903,872
Total	$	300,446,125	$	–	$	300,446,125

270

Notes to Financial Statements (unaudited)(continued)

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received(a)			Securities Collateral Received(a)			Net Amount(b)
Fixed Income Clearing Corp.	$	299,903,872	$	–		$	–		$	(299,903,872	)	$	–
J.P. Morgan Chase		37,376		–			(37,376	)		–			–
Morgan Stanley		504,877		(165,308	)		(339,569	)		–			–
Total	$	300,446,125	$	(165,308	)	$	(376,945	)	$	(299,903,872	)	$	–

Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities
Credit Default Swaps	$	646,891	$	–	$	646,891
Forward Foreign Currency Exchange Contracts		229,332		–		229,332
Total	$	876,223	$	–	$	876,223

			Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged(a)			Securities Collateral Pledged(a)		Net Amount(c)
Bank of America	$	229,332	$	–		$	(229,332	)	$	–	$	–
Credit Suisse		324,598		–			(324,598	)		–		–
Goldman Sachs		156,985		–			(156,985	)		–		–
Morgan Stanley		165,308		(165,308	)		–			–		–
Total	$	876,223	$	(165,308	)	$	(710,915	)	$	–	$	–

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty.
(b)	Net amount represents the amount owed to the Fund by each counterparty as of May 31, 2015.
(c)	Net amount represents the amount owed by the Fund to each counterparty as of May 31, 2015.

8. TRUSTEES’ REMUNERATION 

The Trust’s officers and a Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

9. EXPENSE REDUCTIONS 

The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.

271

Notes to Financial Statements (unaudited)(continued)

10. LINE OF CREDIT 

During the six months ended May 31, 2015, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participated in a $500 million unsecured revolving credit facility (the “Facility”) with State Street Bank and Trust Company (“SSB”). The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million based on past borrowings and likelihood of future borrowings. Each Participating Fund bears its ratable share of the $525,000 annual Facility fee based on the maximum amount the Fund can borrow under the Facility. This amount is included for each Fund in Other expenses in the Statements of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.

During the six months ended May 31, 2015, the Funds did not utilize the Facility.

11. CUSTODIAN AND ACCOUNTING AGENT 

SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.

12. INVESTMENT RISKS 

Each Fund is subject to the general risks and considerations associated with investing in fixed income securities. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when interest rates fall, such prices tend to rise. Longer-term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to a Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which one or more of the Funds may invest. Some issuers, particularly of high-yield bonds, may default as to principal and/or interest payments after a Fund purchases their securities. A default, or concerns in the market about an increase in risk of default, may result in losses to each Fund. High-yield bonds are subject to greater price fluctuations, as well as additional risks.

The values of equity holdings of Convertible Fund will fluctuate in response to movements in the equity securities market in general and to the changing prospects of the individual companies involved.

Convertible Fund, High Yield Fund, Income Fund, Inflation Focused Fund, and Short Duration Income Fund are subject to the general risks and considerations associated with investing in convertible securities, which have both equity and fixed income risk characteristics. Generally, convertible securities offer lower interest or dividend yields than non-convertible securities of similar quality and less potential for gains or capital appreciation in a rising equity securities market than equity securities. They tend to be more volatile than other fixed income securities, and the markets for convertible securities may be less liquid than markets for stocks or bonds. A significant portion of convertible securities have below investment grade credit ratings and are subject to increased credit and liquidity risks.

Each Fund’s investment exposure to foreign (which may include emerging market) companies presents increased market, liquidity, currency, political, information and other risks. The cost of a

272

Notes to Financial Statements (unaudited)(continued)

Fund’s potential use of forward foreign currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing.

Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.

Each Fund may invest in swap contracts. Swap contracts are bi-lateral agreements between a fund and its counterparty. Each party is exposed to the risk of default by the other. In addition, they may involve a small investment of cash compared to the risk assumed with the result that small changes may produce disproportionate and substantial gains or losses to the Funds.

High Yield, Inflation Focused Fund and Short Duration Income Fund may invest in credit default swap contracts. The risks associated with the Funds’ investment in credit default swaps are greater than if the Funds invested directly in the reference obligation because they are subject to illiquidity risk, counterparty risk, and credit risk at both the counterparty and underlying issuer levels.

Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, and Short Duration Income Fund may invest in floating rate or adjustable rate senior loans, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities. The senior loans in which Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund and Short Duration Income Fund may invest may consist primarily of senior loans that are rated below investment grade or, if unrated, deemed by Lord Abbett to be equivalent to below investment grade securities. Below investment grade senior loans, as in the case of high-yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market. In addition, Floating Rate Fund may invest up to 20% of its total assets in senior loans that are not secured by any specific collateral.

High Yield Fund, Income Fund, Inflation Focused Fund, and Short Duration Income Fund may invest in mortgage-related securities, including those of such Government sponsored enterprises as Federal Home Loan Mortgage Corporation and Federal National Mortgage Association. In addition, these Funds may invest in non-agency backed and mortgage related securities, which are issued by the private institutions, not by the government-sponsored enterprises. Such securities may be particularly sensitive to changes in economic conditions, including delinquencies and/or defaults, and changes in prevailing interest rates. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive a Fund of income payments above current markets rates. The prepayment rate also will affect the price and volatility of a mortgage-related security. In addition, securities of government

273

Notes to Financial Statements (unaudited)(continued)

sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprise involved, not by the U.S. Government.

These factors can affect each Fund’s performance.

13. SUMMARY OF CAPITAL TRANSACTIONS 

Transactions in shares of beneficial interest were as follows:

	Six Months Ended
	May 31, 2015						Year Ended
Convertible Fund	(unaudited)						November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		2,374,374		$	29,090,432			9,175,414		$	121,208,389
Converted from Class B*		18,378			188,929			26,309			348,671
Reinvestment of distributions		1,220,668			14,745,604			787,616			10,000,405
Shares reacquired		(5,056,718	)		(64,634,148	)		(5,724,278	)		(75,051,568	)
Increase (decrease)		(1,443,298	)	$	(20,609,183	)		4,265,061		$	56,505,897
Class B Shares
Shares sold		1,544		$	18,604			9,122		$	121,374
Reinvestment of distributions		18,889			227,615			16,124			203,161
Shares reacquired		(21,103	)		(295,652	)		(42,092	)		(550,415	)
Converted to Class A*		(18,409	)		(188,929	)		(26,343	)		(348,671	)
Decrease		(19,079	)	$	(238,362	)		(43,189	)	$	(574,551	)
Class C Shares
Shares sold		547,805		$	6,687,215			1,453,101		$	19,066,787
Reinvestment of distributions		500,710			6,008,527			302,752			3,805,417
Shares reacquired		(894,527	)		(10,919,874	)		(945,902	)		(12,407,394	)
Increase		153,988		$	1,775,868			809,951		$	10,464,810
Class F Shares
Shares sold		4,029,219		$	50,605,510			7,162,529		$	94,729,466
Reinvestment of distributions		1,151,781			13,912,894			453,829			5,770,302
Shares reacquired		(5,047,998	)		(61,956,149	)		(3,377,107	)		(44,670,070	)
Increase		133,002		$	2,562,255			4,239,251		$	55,829,698
Class I Shares
Shares sold		2,667,810		$	33,458,595			20,339,699		$	267,138,117
Reinvestment of distributions		4,395,078			53,397,116			2,598,689			33,112,050
Shares reacquired		(947,006	)		(11,554,300	)		(15,341,351	)		(205,761,196	)
Increase		6,115,882		$	75,301,411			7,597,037		$	94,488,971
Class P Shares
Shares sold		433		$	5,440			1,027		$	13,798
Reinvestment of distributions		474			5,796			288			3,690
Shares reacquired		(10	)		(121	)		(727	)		(9,620	)
Increase		897		$	11,115			588		$	7,868

274

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
	(unaudited)						November 30, 2014
Class R2 Shares	Shares			Amount			Shares			Amount
Shares sold		4,290		$	52,723			21,151		$	275,541
Reinvestment of distributions		132			1,607			87			1,118
Shares reacquired		(10,035	)		(124,951	)		(5,303	)		(69,757	)
Increase (decrease)		(5,613	)	$	(70,621	)		15,935		$	206,902
Class R3 Shares
Shares sold		55,974		$	683,386			145,034		$	1,919,290
Reinvestment of distributions		29,626			356,694			14,544			183,884
Shares reacquired		(45,988	)		(559,992	)		(68,885	)		(904,501	)
Increase		39,612		$	480,088			90,693		$	1,198,673

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

	Six Months Ended
	May 31, 2015						Year Ended
Floating Rate Fund	(unaudited)						November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		45,103,326		$	416,498,830			141,717,796		$	1,341,714,596
Reinvestment of distributions		5,333,880			49,230,806			15,162,964			143,169,891
Shares reacquired		(79,450,069	)		(730,836,861	)		(226,900,827	)		(2,142,505,887	)
Decrease		(29,012,863	)	$	(265,107,225	)		(70,020,067	)	$	(657,621,400	)
Class C Shares
Shares sold		12,340,823		$	114,019,950			44,208,158		$	418,953,991
Reinvestment of distributions		2,518,192			23,259,138			6,165,397			58,234,353
Shares reacquired		(29,874,402	)		(275,311,691	)		(59,389,770	)		(560,561,665	)
Decrease		(15,015,387	)	$	(138,032,603	)		(9,016,215	)	$	(83,373,321	)
Class F Shares
Shares sold		49,456,962		$	455,681,303			154,083,759		$	1,456,230,742
Reinvestment of distributions		3,822,928			35,252,903			9,697,936			91,409,289
Shares reacquired		(79,006,732	)		(726,391,718	)		(179,726,418	)		(1,693,157,190	)
Decrease		(25,726,842	)	$	(235,457,512	)		(15,944,723	)	$	(145,517,159	)
Class I Shares
Shares sold		29,330,745		$	271,000,602			30,013,930		$	283,837,904
Reinvestment of distributions		853,649			7,886,266			2,208,426			20,875,314
Shares reacquired		(15,888,560	)		(146,120,760	)		(47,832,128	)		(452,351,089	)
Increase (decrease)		14,295,834		$	132,766,108			(15,609,772	)	$	(147,637,871	)
Class R2 Shares
Shares sold		8,212		$	75,804			28,549		$	270,875
Reinvestment of distributions		1,415			13,080			3,174			29,983
Shares reacquired		(21,409	)		(198,699	)		(22,978	)		(216,863	)
Increase (decrease)		(11,782	)	$	(109,815	)		8,745		$	83,995

275

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
	(unaudited					)	November 30, 2014
Class R3 Shares	Shares			Amount			Shares			Amount
Shares sold		551,377		$	5,087,523			2,026,803		$	19,200,380
Reinvestment of distributions		55,868			515,920			106,571			1,004,876
Shares reacquired		(713,592	)		(6,555,431	)		(648,100	)		(6,111,347	)
Increase (decrease)		(106,347	)	$	(951,988	)		1,485,274		$	14,093,909

	Six Months Ended
	May 31, 2015						Year Ended
High Yield Fund	(unaudited					)	November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		60,837,257		$	459,308,786			104,690,235		$	827,973,808
Converted from Class B*		19,919			150,955			110,698			873,757
Reinvestment of distributions		5,508,328			41,416,246			9,569,266			75,253,382
Shares reacquired		(42,750,626	)		(322,819,481	)		(100,475,900	)		(794,122,464	)
Increase		23,614,878		$	178,056,506			13,894,299		$	109,978,483
Class B Shares
Shares sold		54,317		$	412,841			85,718		$	673,203
Reinvestment of distributions		57,124			426,750			123,692			966,753
Shares reacquired		(261,777	)		(1,973,444	)		(385,350	)		(3,033,840	)
Converted to Class A*		(20,015	)		(150,955	)		(111,206	)		(873,757	)
Decrease		(170,351	)	$	(1,284,808	)		(287,146	)	$	(2,267,641	)
Class C Shares
Shares sold		8,561,939		$	64,431,067			13,475,747		$	106,056,718
Reinvestment of distributions		1,757,858			13,130,317			2,853,174			22,306,427
Shares reacquired		(7,512,111	)		(56,423,957	)		(10,739,929	)		(84,426,876	)
Increase		2,807,686		$	21,137,427			5,588,992		$	43,936,269
Class F Shares
Shares sold		42,267,065		$	318,812,242			59,342,522		$	468,331,587
Reinvestment of distributions		3,512,657			26,381,285			3,602,375			28,283,203
Shares reacquired		(25,404,960	)		(191,752,891	)		(34,619,499	)		(271,864,455	)
Increase		20,374,762		$	153,440,636			28,325,398		$	224,750,335
Class I Shares
Shares sold		66,693,001		$	503,759,751			195,974,093		$	1,552,881,968
Reinvestment of distributions		14,014,445			105,760,126			15,534,691			122,661,236
Shares reacquired		(77,994,913	)		(593,554,769	)		(68,708,117	)		(545,111,961	)
Increase		2,712,533		$	15,965,108			142,800,667		$	1,130,431,243
Class P Shares
Shares sold		12,622		$	97,022			42,567		$	341,973
Reinvestment of distributions		6,737			51,303			17,446			138,962
Shares reacquired		(79,658	)		(621,711	)		(47,481	)		(380,824	)
Increase (decrease)		(60,299	)	$	(473,386	)		12,532		$	100,111

276

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
	(unaudited					)	November 30, 2014
Class R2 Shares	Shares			Amount			Shares			Amount
Shares sold		154,457		$	1,174,619			353,433		$	2,807,570
Reinvestment of distributions		6,706			50,701			8,173			64,683
Shares reacquired		(160,114	)		(1,212,347	)		(369,735	)		(2,945,755	)
Increase (decrease)		1,049		$	12,973			(8,129	)	$	(73,502	)
Class R3 Shares
Shares sold		1,468,906		$	11,195,386			1,959,830		$	15,616,591
Reinvestment of distributions		236,008			1,783,228			343,331			2,713,128
Shares reacquired		(902,660	)		(6,847,489	)		(1,551,366	)		(12,341,271	)
Increase		802,254		$	6,131,125			751,795		$	5,988,448

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

	Six Months Ended
	May 31, 2015						Year Ended
Income Fund	(unaudited					)	November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		63,416,374		$	183,405,353			121,533,633		$	354,795,497
Converted from Class B*		174,819			50,784			315,356			916,019
Reinvestment of distributions		9,399,374			27,091,782			20,122,536			58,099,405
Shares reacquired		(62,175,424	)		(179,384,542	)		(117,586,021	)		(341,010,403	)
Increase		10,815,143		$	31,163,377			24,385,504		$	72,800,518
Class B Shares
Shares sold		30,338		$	87,798			114,731		$	332,353
Reinvestment of distributions		54,551			157,302			160,990			464,578
Shares reacquired		(365,845	)		(1,509,815	)		(770,537	)		(2,236,974	)
Converted to Class A*		(174,727	)		(50,784	)		(315,097	)		(916,019	)
Decrease		(455,683	)	$	(1,315,499	)		(809,913	)	$	(2,356,062	)
Class C Shares
Shares sold		14,065,409		$	40,742,407			20,763,150		$	60,908,933
Reinvestment of distributions		2,169,750			6,278,009			4,843,642			14,040,982
Shares reacquired		(12,171,672	)		(35,256,694	)		(29,647,557	)		(86,201,410	)
Increase (decrease)		4,063,487		$	11,763,722			(4,040,765	)	$	(11,251,495	)
Class F Shares
Shares sold		63,368,622		$	182,854,269			89,624,352		$	261,901,328
Reinvestment of distributions		3,979,843			11,471,612			5,738,628			16,609,094
Shares reacquired		(31,736,495	)		(91,483,637	)		(46,184,969	)		(133,806,373	)
Increase		35,611,970		$	102,842,244			49,178,011		$	144,704,049
Class I Shares
Shares sold		12,816,591		$	37,019,275			23,256,036		$	67,328,537
Reinvestment of distributions		823,955			2,373,797			1,188,754			3,446,199
Shares reacquired		(12,315,721	)		(35,384,872	)		(10,310,841	)		(30,045,594	)
Increase		1,324,825		$	4,008,200			14,133,949		$	40,729,142

277

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
	(unaudited					)	November 30, 2014
Class R2 Shares	Shares			Amount			Shares			Amount
Shares sold		336,568		$	979,191			973,781		$	2,864,320
Reinvestment of distributions		23,248			67,534			36,753			107,360
Shares reacquired		(326,974	)		(951,385	)		(391,857	)		(1,152,332	)
Increase		32,842		$	95,340			618,677		$	1,819,348
Class R3 Shares
Shares sold		6,807,328		$	19,702,080			9,995,663		$	29,146,629
Reinvestment of distributions		493,475			1,427,209			771,718			2,240,942
Shares reacquired		(2,732,596	)		(7,901,336	)		(3,964,441	)		(11,556,519	)
Increase		4,568,207		$	13,227,953			6,802,940		$	19,831,052

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

	Six Months Ended
	May 31, 2015						Year Ended
Inflation Focused Fund	(unaudited					)	November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		6,662,765		$	85,878,916			22,957,756		$	320,026,727
Reinvestment of distributions		569,356			7,331,950			1,054,293			14,718,202
Shares reacquired		(8,378,535	)		(108,362,768	)		(23,589,304	)		(330,827,526	)
Increase (decrease)		(1,146,414	)	$	(15,151,902	)		422,745		$	3,917,403
Class C Shares
Shares sold		616,985		$	7,949,667			1,177,588		$	16,524,780
Reinvestment of distributions		86,605			1,117,007			202,218			2,827,375
Shares reacquired		(2,199,621	)		(28,487,562	)		(3,732,067	)		(52,289,351	)
Decrease		(1,496,031	)	$	(19,420,888	)		(2,352,261	)	$	(32,937,196	)
Class F Shares
Shares sold		7,248,439		$	93,647,169			18,880,159		$	265,618,833
Reinvestment of distributions		292,258			3,766,695			552,810			7,686,627
Shares reacquired		(13,815,068	)		(178,954,601	)		(13,753,970	)		(191,752,694	)
Increase (decrease)		(6,274,371	)	$	(81,540,737	)		5,678,999		$	81,552,766
Class I Shares
Shares sold		6,372,511		$	81,574,646			7,652,838		$	108,327,143
Reinvestment of distributions		99,300			1,278,731			177,001			2,464,138
Shares reacquired		(1,742,541	)		(22,566,798	)		(5,916,136	)		(81,617,720	)
Increase		4,729,270		$	60,286,579			1,913,703		$	29,173,561
Class R2 Shares
Shares sold		7,063		$	90,114			13,540		$	188,285
Reinvestment of distributions		18			235			69			964
Shares reacquired		(2,578	)		(33,008	)		(3,369	)		(47,704	)
Increase		4,503		$	57,341			10,240		$	141,545

278

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
	(unaudited					)	November 30, 2014
Class R3 Shares	Shares			Amount			Shares			Amount
Shares sold		7,049		$	90,955			8,516		$	119,283
Reinvestment of distributions		281			3,616			361			5,012
Shares reacquired		(3,189	)		(41,236	)		(1,297	)		(18,271	)
Increase		4,141		$	53,335			7,580		$	106,024

	Six Months Ended
	May 31, 2015						Year Ended
Short Duration Income Fund	(unaudited					)	November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		463,460,269		$	2,067,722,204			1,297,965,203		$	5,898,817,850
Converted from Class B*		165,347			446,918			323,676			1,470,068
Reinvestment of distributions		46,777,382			208,627,102			97,555,116			442,890,458
Shares reacquired		(682,365,869	)		(3,044,114,216	)		(1,377,538,359	)		(6,258,824,654	)
Increase (decrease)		(171,962,871	)	$	(767,317,992	)		18,305,636		$	84,353,722
Class B Shares
Shares sold		86,271		$	385,504			249,490		$	1,136,099
Reinvestment of distributions		64,824			289,553			148,561			675,494
Shares reacquired		(687,981	)		(3,363,349	)		(1,222,105	)		(5,561,227	)
Converted to Class A*		(165,098	)		(446,918	)		(323,172	)		(1,470,068	)
Decrease		(701,984	)	$	(3,135,210	)		(1,147,226	)	$	(5,219,702	)
Class C Shares
Shares sold		155,140,396		$	696,346,311			444,803,878		$	2,033,521,438
Reinvestment of distributions		22,750,446			102,113,826			44,931,265			205,279,848
Shares reacquired		(262,884,450	)		(1,179,859,106	)		(475,856,419	)		(2,176,048,544	)
Increase (decrease)		(84,993,608	)	$	(381,398,969	)		13,878,724		$	62,752,742
Class F Shares
Shares sold		610,953,289		$	2,723,161,288			1,680,347,896		$	7,627,329,106
Reinvestment of distributions		39,086,600			174,196,685			63,797,649			289,211,970
Shares reacquired		(783,501,988	)		(3,491,685,386	)		(1,053,245,486	)		(4,779,429,084	)
Increase (decrease)		(133,462,099	)	$	(594,327,413	)		690,900,059		$	3,137,111,992
Class I Shares
Shares sold		309,035,823		$	1,377,978,203			763,279,168		$	3,458,788,062
Reinvestment of distributions		15,320,539			68,277,245			26,785,272			121,452,791
Shares reacquired		(322,242,095	)		(1,435,607,543	)		(528,890,919	)		(2,400,263,532	)
Increase		2,114,267		$	10,647,905			261,173,521		$	1,179,977,321
Class R2 Shares
Shares sold		1,261,279		$	5,628,429			2,913,353		$	13,243,785
Reinvestment of distributions		17,544			78,275			30,277			137,486
Shares reacquired		(989,356	)		(4,415,375	)		(1,599,988	)		(7,266,927	)
Increase		289,467		$	1,291,329			1,343,642		$	6,114,344

279

Notes to Financial Statements (unaudited)(concluded)

	Six Months Ended
	May 31, 2015						Year Ended
	(unaudited					)	November 30, 2014
Class R3 Shares	Shares			Amount			Shares			Amount
Shares sold		11,193,615		$	49,977,924			20,620,917		$	93,789,241
Reinvestment of distributions		619,919			2,767,865			989,307			4,495,283
Shares reacquired		(5,702,873	)		(25,475,678	)		(12,286,252	)		(55,891,967	)
Increase		6,110,661		$	27,270,111			9,323,972		$	42,392,557

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

14. RECENT ACCOUNTING PRONOUNCEMENT  

In June 2014, FASB issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2015, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.

280

Supplemental Proxy Information

A joint special meeting of shareholders of each Fund and other funds of the Trust was held on December 4, 2014. The joint special meeting was held for the purpose of electing members of the Board. Shareholders elected the following nine (9) Trustees at the joint special meeting:

• E. Thayer Bigelow

• Robert B. Calhoun, Jr.

• Eric C. Fast

• Daria L. Foster

• Evelyn E. Guernsey

• Julie A. Hill

• Franklin W. Hobbs

• James M. McTaggart

• James L.L. Tullis

The results of the proxy solicitation on the preceding matter were as follows:

Lord Abbett Investment Trust

Nominee	Votes For		Votes Withheld
E. Thayer Bigelow		9,741,410,387.289		139,174,112.638
Robert B. Calhoun, Jr.		9,744,649,940.182		135,934,559.745
Eric C. Fast		9,747,037,109.749		133,547,390.178
Daria L. Foster		9,751,786,030.813		128,798,469.114
Evelyn E. Guernsey		9,752,515,061.052		128,069,438.875
Julie A. Hill		9,750,467,661.690		130,116,838.237
Franklin W. Hobbs		9,749,208,770.394		131,375,729.533
James M. McTaggart		9,749,740,533.092		130,843,966.835
James L.L. Tullis		9,748,690,350.111		131,894,149.816

281

Approval of Advisory Contract

The Board of Trustees of the Company, including all of the Trustees who are not interested persons of the Company or of Lord Abbett, annually considers whether to approve the continuation of the existing management agreement between each Fund and Lord Abbett. In connection with its most recent approval, the Board reviewed materials relating specifically to the management agreement, as well as numerous materials received throughout the course of the year, including information about each Fund’s investment performance compared to the performance of its benchmark. Before making its decision as to each Fund, the Board had the opportunity to ask questions and request further information, taking into account its familiarity with Lord Abbett gained through its meetings and discussions. These meetings and discussions included the examination of the portfolio management teams conducted by members of the Contract Committee, the deliberations of the Contract Committee, and discussions between the Contract Committee and Lord Abbett’s management.

The materials received by the Board as to each Fund included, but were not limited to: (1) information provided by Morningstar Associates, LLC (“Morningstar”) regarding the investment performance of the Fund compared to the investment performance of a group of funds in the same Morningstar investment category (the “performance peer group”) and the investment performance of one or more appropriate benchmarks; (2) information provided by Morningstar regarding the expense ratios, contractual and effective management fee rates, and other expense components for the Fund and one or more groups of funds in the same Morningstar category, with the same share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the projected expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability of the management agreement to Lord Abbett; (8) information provided by Lord Abbett regarding the investment management fees Lord Abbett receives from its other advisory clients maintaining accounts with a similar investment strategy as the Fund; (9) information regarding the distribution arrangements of the Fund; and (10) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.

Investment Management Services Generally. The Board considered the investment management services provided by Lord Abbett to each Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to the Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other.

Investment Performance. The Board reviewed each Fund’s investment performance in relation to that of the performance peer group, in each case as of various periods ended August 31, 2014. As to Convertible Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-year and three-year periods and below the median for the five-year and ten-year periods. As to Floating Rate Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-year and five-year periods and above the median for the three-year period. As to each of High Yield Fund, Income Fund and Short Duration Income Fund, the Board observed that the Fund’s

282

Approval of Advisory Contract (continued)

investment performance was above the median of the performance peer group for each of the periods. As to Inflation Focused Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-year and three-year periods.

Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to each Fund, in light of its investment objective and discipline. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s investment management staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining investment management personnel.

Nature and Quality of Other Services. The Board considered the nature, quality, costs, and extent of compliance, administrative, and other services performed by Lord Abbett and the Distributor and the nature and extent of Lord Abbett’s supervision of third party service providers, including each Fund’s transfer agent and custodian.

Expenses. The Board considered the expense levels of each Fund and the expense levels of one or more corresponding expense peer groups. It also considered the projected expense levels of each Fund and how those levels would relate to those of the expense peer group and the amount and nature of the fees paid by shareholders. As to Convertible Fund, the Board observed that the overall expense ratio was approximately the same as the median of the expense peer group. As to each of Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, and Short Duration Income Fund, the Board observed that the overall expense ratio was below the median of the expense peer group.

Profitability. As to each Fund, the Board considered the level of Lord Abbett’s profits in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. The Board concluded that the allocation methodology had a reasonable basis and was appropriate. It considered any profits realized by Lord Abbett in connection with the operation of each Fund, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund, and whether the amount of profit was fair for the management of the Fund. The Board also considered the profits realized from other business segments of Lord Abbett, which may benefit from or be related to the Fund’s business. The Board considered Lord Abbett’s profit margins in comparison with available industry data, both accounting for and ignoring marketing and distribution expenses, and how those profit margins could affect Lord Abbett’s ability to recruit and retain investment personnel. The Board recognized that Lord Abbett’s profitability was a factor in enabling it to attract and retain qualified investment management personnel to provide services to the Fund. The Board concluded that Lord Abbett’s profitability as to each Fund was not excessive.

Economies of Scale. As to each Fund, the Board considered whether there had been any economies of scale in managing the Fund, whether the Fund had appropriately benefited from any such economies of scale, and whether there was potential for realization of any further economies of scale. The Board concluded that each existing management fee schedule, with its breakpoint or breakpoints in the level of the management fee, adequately addressed any economies of scale in managing the applicable Fund.

Other Benefits to Lord Abbett. As to each Fund, the Board considered the character and amount of fees paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the

283

Approval of Advisory Contract (concluded)

intangible benefits enjoyed by Lord Abbett by virtue of its relationship with the Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also noted that Lord Abbett, as disclosed in the prospectuses of the Funds, has entered into revenue sharing arrangements with certain entities that distribute shares of the Funds.

Alternative Arrangements. As to each Fund, the Board considered whether, instead of approving continuation of the management agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the existing management agreements was in the best interests of each Fund and its shareholders and voted unanimously to approve the continuation of the management agreements. In considering whether to approve the continuation of the management agreement, the Board did not identify any single factor as paramount or controlling. This summary does not discuss in detail all matters considered.

284

Householding

The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.

Proxy Voting Policies, Procedures and Records

A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).

285

 

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This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.		Lord Abbett High Yield Fund Lord Abbett Income Fund Lord Abbett Inflation Focused Fund Lord Abbett Short Duration Income Fund	LAIT-3 (07/15)

2015 LORD ABBETT
SEMIANNUAL REPORT

Lord Abbett

Diversified Equity Strategy Fund

Multi-Asset Balanced Opportunity Fund

Multi-Asset Growth Fund

Multi-Asset Income Fund

For the six-month period ended May 31, 2015

Table of Contents

1	A Letter to Shareholders
2	Information About Your Fund’s Expenses and Holdings Presented by Portfolio Allocation
	Schedules of Investments:
7	Diversified Equity Strategy Fund
8	Multi-Asset Balanced Opportunity Fund
11	Multi-Asset Growth Fund
14	Multi-Asset Income Fund
18	Statements of Assets and Liabilities
22	Statements of Operations
24	Statements of Changes in Net Assets
28	Financial Highlights
58	Notes to Financial Statements
83	Supplemental Information to Shareholders

Lord Abbett Investment Trust

Lord Abbett Diversified Equity Strategy Fund,

Lord Abbett Multi-Asset Balanced Opportunity Fund,

Lord Abbett Multi-Asset Growth Fund,

and Lord Abbett Multi-Asset Income Fund

Semiannual Report

For the six-month period ended May 31, 2015

Daria L. Foster, Trustee, President and Chief Executive Officer of the Lord Abbett Funds, and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.

Dear Shareholders: We are pleased to provide you with this overview of the performance of the Funds for the six-month period ended May 31, 2015. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website.

Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.

Best regards,

Daria L. Foster

Trustee, President and Chief Executive Officer

1

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2014 through May 31, 2015).

Actual Expenses

For each class of each Fund, the first line of the applicable table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period 12/1/14 – 5/31/15” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

For each class of each Fund, the second line of the applicable table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

2

Diversified Equity Strategy Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†#
			12/1/14 -
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,050.10	$1.28
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,023.68	$1.26
Class B
Actual	$1,000.00	$1,046.10	$5.10
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.95	$5.04
Class C
Actual	$1,000.00	$1,046.50	$5.00
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,020.04	$4.94
Class F
Actual	$1,000.00	$1,051.20	$0.51
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,024.43	$0.50
Class I
Actual	$1,000.00	$1,051.30	$0.00
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,024.93	$0.00
Class R2
Actual	$1,000.00	$1,048.30	$3.06
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.94	$3.02
Class R3
Actual	$1,000.00	$1,049.10	$2.55
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.44	$2.52

†	For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.25% for Class A, 1.00% for Class B, 0.98% for Class C, 0.10% for Class F, 0.00% for Class I, 0.60% for Class R2 and 0.50% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).
#	Does not include expenses of the Underlying Funds in which Diversified Equity Strategy Fund invests.

Portfolio Holdings Presented by Portfolio Allocation

May 31, 2015

Underlying Fund Name	%*
Lord Abbett Affiliated Fund, Inc.-Class I		20.00%
Lord Abbett Developing Growth Fund, Inc.-Class I		5.07%
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I		15.06%
Lord Abbett Securities Trust-Growth Leaders Fund-Class I		14.98%
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I		15.01%
Lord Abbett Securities Trust-International Core Equity Fund-Class I		11.96%
Lord Abbett Securities Trust-International Opportunities Fund-Class I		7.93%
Lord Abbett Securities Trust-Value Opportunities Fund-Class I		9.91%
Repurchase Agreement		0.08%
Total		100.00%

* Represents percent of total investments.

3

Multi-Asset Balanced Opportunity Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†#
			12/1/14 -
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,025.90	$1.77
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,023.19	$1.77
Class B
Actual	$1,000.00	$1,022.80	$5.55
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.45	$5.54
Class C
Actual	$1,000.00	$1,022.40	$5.50
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.50	$5.49
Class F
Actual	$1,000.00	$1,026.60	$1.01
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,023.93	$1.01
Class I
Actual	$1,000.00	$1,027.90	$0.51
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,024.43	$0.50
Class P
Actual	$1,000.00	$1,025.80	$2.78
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.19	$2.77
Class R2
Actual	$1,000.00	$1,024.30	$3.53
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.44	$3.53
Class R3
Actual	$1,000.00	$1,025.50	$2.98
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.99	$2.97

†	For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.35% for Class A, 1.10% for Class B, 1.09% for Class C, 0.20% for Class F, 0.10% for Class I, 0.55% for Class P, 0.70% for Class R2 and 0.59% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).
#	Does not include expenses of the Underlying Funds in which Multi-Asset Balanced Opportunity Fund invests.

Portfolio Holdings Presented by Portfolio Allocation

May 31, 2015

Underlying Fund Name	%*
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I		9.41%
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I		12.96%
Lord Abbett Investment Trust-Convertible Fund-Class I		10.62%
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I		3.47%
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I		9.39%
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I		0.41%
Lord Abbett Investment Trust-High Yield Fund-Class I		22.56%
Lord Abbett Securities Trust-International Dividend Income Fund-Class I		16.35%
Lord Abbett Mid Cap Stock Fund, Inc.-Class I		10.72%
Lord Abbett Investment Trust-Short Duration Income Fund-Class I		4.03%
Repurchase Agreement		0.08%
Total		100.00%

* Represents percent of total investments.

4

Multi-Asset Growth Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†#
			12/1/14 -
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,032.60	$1.77
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,023.19	$1.77
Class B
Actual	$1,000.00	$1,028.20	$5.56
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.45	$5.54
Class C
Actual	$1,000.00	$1,028.70	$5.51
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.50	$5.49
Class F
Actual	$1,000.00	$1,033.30	$1.01
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,023.93	$1.01
Class I
Actual	$1,000.00	$1,033.60	$0.51
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,024.43	$0.50
Class P
Actual	$1,000.00	$1,031.60	$2.53
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,022.44	$2.52
Class R2
Actual	$1,000.00	$1,030.10	$3.54
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.44	$3.53
Class R3
Actual	$1,000.00	$1,030.90	$2.99
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.99	$2.97

†	For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.35% for Class A, 1.10% for Class B, 1.09% for Class C, 0.20% for Class F, 0.10% for Class I, 0.50% for Class P, 0.70% for Class R2 and 0.59% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).
#	Does not include expenses of the Underlying Funds in which Multi-Asset Growth Fund invests.

Portfolio Holdings Presented by Portfolio Allocation

May 31, 2015

Underlying Fund Name	%*
Lord Abbett Affiliated Fund, Inc.-Class I		3.40%
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I		11.90%
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I		16.73%
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I		2.78%
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I		0.48%
Lord Abbett Investment Trust-High Yield Fund-Class I		23.01%
Lord Abbett Securities Trust-International Dividend Income Fund-Class I		21.37%
Lord Abbett Mid Cap Stock Fund, Inc.-Class I		16.05%
Lord Abbett Investment Trust-Short Duration Income Fund-Class I		4.15%
Repurchase Agreement		0.13%
Total		100.00%

* Represents percent of total investments.

5

Multi-Asset Income Fund

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning	Ending	Expenses
	Account	Account	Paid During
	Value	Value	Period†#
			12/1/14 -
	12/1/14	5/31/15	5/31/15
Class A
Actual	$1,000.00	$1,022.00	$1.76
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,023.19	$1.77
Class B
Actual	$1,000.00	$1,017.90	$5.53
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.45	$5.54
Class C
Actual	$1,000.00	$1,018.70	$5.54
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,019.45	$5.54
Class F
Actual	$1,000.00	$1,022.80	$1.01
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,023.93	$1.01
Class I
Actual	$1,000.00	$1,023.40	$0.50
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,024.43	$0.50
Class R2
Actual	$1,000.00	$1,020.40	$3.53
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.44	$3.53
Class R3
Actual	$1,000.00	$1,020.90	$3.02
Hypothetical (5% Return Before Expenses)	$1,000.00	$1,021.94	$3.02

†	For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.35% for Class A, 1.10% for Class B and C, 0.20% for Class F, 0.10% for Class I, 0.70% for Class R2 and 0.60% for Class R3) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period).
#	Does not include expenses of the Underlying Funds in which Multi-Asset Income Fund invests.

Portfolio Holdings Presented by Portfolio Allocation

May 31, 2015

Underlying Fund Name	%*
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I		5.07%
Lord Abbett Investment Trust-Convertible Fund-Class I		10.35%
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I		3.24%
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I		9.32%
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I		0.57%
Lord Abbett Investment Trust-High Yield Fund-Class I		33.09%
Lord Abbett Securities Trust-International Dividend Income Fund-Class I		11.27%
Lord Abbett Mid Cap Stock Fund, Inc.-Class I		3.13%
Lord Abbett Investment Trust-Short Duration Income Fund-Class I		23.95%
Repurchase Agreement		0.01%
Total		100.00%

* Represents percent of total investments.

6

Schedule of Investments (unaudited)

DIVERSIFIED EQUITY STRATEGY FUND May 31, 2015

		Fair
		Value
Investments	Shares		(000)
INVESTMENTS IN UNDERLYING FUNDS(a) 99.87%
Lord Abbett Affiliated Fund, Inc.-Class I(b)	3,475,669	$	57,488
Lord Abbett Developing Growth Fund, Inc.-Class I*(c)	536,343		14,572
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(b)	3,131,387		43,307
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(d)	1,818,257		43,056
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(e)	1,761,195		43,149
Lord Abbett Securities Trust-International Core Equity Fund-Class I(f)	2,542,500		34,375
Lord Abbett Securities Trust-International Opportunities Fund- Class I(g)	1,261,485		22,795
Lord Abbett Securities Trust-Value Opportunities Fund-Class I*(g)	1,361,801		28,502
Total Investments in Underlying Funds (cost $237,883,835)			287,244

	Principal		Fair
	Amount		Value
Investments	(000)		(000)
SHORT-TERM INVESTMENT 0.09%
Repurchase Agreement
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with State Street Bank and Trust Co. collateralized by $245,000 of U.S. Treasury Note at 1.625% due 6/30/2019; value: $249,854; proceeds: $242,588 (cost $242,588)		$243	$	243
Total Investments in Securities 99.96% (cost $238,126,423)				287,487
Other Assets in Excess of Liabilities 0.04%				127
Net Assets 100.00%			$	287,614

*	Non-income producing security.
(a)	Affiliated issuers (See Note 10).
(b)	Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value.
(c)	Fund investment objective is long-term growth of capital through a diversified and actively managed portfolio consisting of developing growth companies, many of which are traded over the counter.
(d)	Fund investment objective is to seek capital appreciation.
(e)	Fund investment objective is capital appreciation.
(f)	Fund investment objective is to seek long-term capital appreciation.
(g)	Fund investment objective is long-term capital appreciation.

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

	Level 1		Level 2		Level 3		Total
Investment Type(2)(3)	(000)		(000)		(000)		(000)
Investments in Underlying Funds	$	287,244	$	–	$	–	$	287,244
Repurchase Agreement		–		243		–		243
Total	$	287,244	$	243	$	–	$	287,487

(1)	Refer to Note 2(j) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each investment strategy of underlying funds.
(3)	There were no level transfers during the period ended May 31, 2015.

See Notes to Financial Statements. 7

Schedule of Investments (unaudited)

MULTI-ASSET BALANCED OPPORTUNITY FUND May 31, 2015

			Fair
			Value
Investments	Shares		(000)
INVESTMENTS IN UNDERLYING FUNDS(a) 99.63%
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I(b)		9,906,576	$	211,505
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I(b)		13,124,575		291,365
Lord Abbett Investment Trust-Convertible Fund-Class I(c)		18,897,367		238,674
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d)		7,041,322		78,018
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I(e)		37,874,030		210,958
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(f)		376,337		9,220
Lord Abbett Investment Trust-High Yield Fund-Class I(g)		65,843,776		506,997
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(h)		45,154,864		367,561
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(i)		8,965,229		240,896
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(j)		20,348,781		90,552
Total Investments in Underlying Funds (cost $2,122,596,870)				2,245,746

	Principal		Fair
	Amount		Value
Investments	(000)		(000)
SHORT-TERM INVESTMENT 0.08%
Repurchase Agreement
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $1,840,000 of U.S. Treasury Note at 1.50% due 2/28/2019; value: $1,867,019; proceeds: $1,826,782 (cost $1,826,782)		$1,827	$	1,827
Total Investments in Securities 99.71% (cost $2,124,423,652)				2,247,573
Other Assets in Excess of Liabilities(k) 0.29%				6,635
Net Assets 100.00%			$	2,254,208

*	Non-income producing security.
(a)	Affiliated issuers (See Note 10).
(b)	Fund investment objective is total return.
(c)	Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return.
(d)	Fund investment objective is to seek income and capital appreciation to produce a high total return.
(e)	Fund investment objective is to seek high total return.
(f)	Fund investment objective is capital appreciation.
(g)	Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return.
(h)	Fund investment objective is to seek a high level of total return.
(i)	Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace.
(j)	Fund investment objective is to seek a high level of income consistent with preservation of capital.
(k)	Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on credit default swaps, forward foreign currency exchange contracts and futures contracts as follows:

8 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND May 31, 2015

Centrally Cleared Credit Default Swaps on Indexes—Buy Protection at May 31, 2015⁽¹⁾:

Upfront

Referenced

Fund

Termination

Notional

Central

Market

Payments

Unrealized

Index

Pays

Date

Amount

Clearinghouse

Value(2)

Received(3)

Depreciation

Fair Value(4)

Markit CDX. NA.HY.24

5.00

%

6/20/2020

$

15,000,000

Credit Suisse

$

13,938,028

$(995,360

)

$(66,612

)

$(1,061,972

)

(1)	If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities.
(2)	Fair value serves as the indicator of the current status of payment/performance risk.
(3)	Upfront payments received are presented net of amortization (See Note 2(h)).
(4)	Includes upfront payments received and unrealized appreciation/(depreciation). Amount is included in variation margin for centrally cleared default swap agreements in the Statements of Assets and Liabilities.

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward

Foreign

U.S. $

Currency

Cost on

U.S. $

Exchange

Transaction

Expiration

Foreign

Origination

Current

Unrealized

Contracts

Type

Counterparty

Date

Currency

Date

Value

Appreciation

Thai baht

Buy

Citibank N.A.

8/20/2015

52,900,000

$1,563,937

$1,568,644

$

4,707

Australian dollar

Sell

Bank of America

8/27/2015

49,600,000

38,648,618

37,746,883

901,735

British pound

Sell

Morgan Stanley

8/27/2015

20,014,000

31,021,424

30,570,183

451,241

Canadian dollar

Sell

Bank of America

8/27/2015

24,063,000

19,565,021

19,324,130

240,891

euro

Sell

Bank of America

8/27/2015

38,400,000

42,416,640

42,225,869

190,771

Unrealized Appreciation on Forward Foreign Currency Exchange Contracts

$

1,789,345

Forward
Foreign						U.S. $
Currency						Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign		Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency		Date		Value		Depreciation
Brazilian real	Buy	Goldman Sachs	8/20/2015		4,800,000		$1,548,087		$1,465,449		$	(82,638	)
Indian rupee	Buy	Morgan Stanley	8/20/2015		34,000,000		527,295		525,516			(1,779	)
Malaysian ringgit	Buy	Morgan Stanley	8/20/2015		7,800,000		2,172,399		2,122,994			(49,405	)
South African rand	Buy	Morgan Stanley	8/20/2015		12,600,000		1,045,506		1,023,750			(21,756	)
Turkish lira	Buy	Citibank N.A.	8/20/2015		4,100,000		1,552,072		1,505,621			(46,451	)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts											$	(202,029	)

Open Futures Contracts at May 31, 2015:

					Unrealized
Type	Expiration	Contracts	Position	Fair Value	Depreciation
E-Mini S&P 500 Index	June 2015	15	Short	$(1,579,500)	$(29,844)

See Notes to Financial Statements. 9

Schedule of Investments (unaudited)(concluded)

MULTI-ASSET BALANCED OPPORTUNITY FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

	Level 1			Level 2			Level 3		Total
Investment Type(2)(3)	(000)			(000)			(000)		(000)
Investments in Underlying Funds	$	2,245,746		$	–		$	–	$	2,245,746
Repurchase Agreement		–			1,827			–		1,827
Total	$	2,245,746		$	1,827		$	–	$	2,247,573
Other Financial Instruments
Credit Default Swaps
Assets	$	–		$	–		$	–	$	–
Liabilities		–			(1,062	)		–		(1,062	)
Forward Foreign Currency Exchange Contracts
Assets		–			1,789			–		1,789
Liabilities		–			(202	)		–		(202	)
Futures Contracts
Assets		–			–			–		–
Liabilities		(30	)		–			–		(30	)
Total	$	(30	)	$	525		$	–	$	495

(1)	Refer to Note 2(j) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each investment strategy of underlying funds.
(3)	There were no level transfers during the period ended May 31, 2015.

10 See Notes to Financial Statements.

Schedule of Investments (unaudited)

MULTI-ASSET GROWTH FUND May 31, 2015

			Fair
			Value
Investments	Shares		(000)
INVESTMENTS IN UNDERLYING FUNDS(a) 99.62%
Lord Abbett Affiliated Fund, Inc.-Class I(b)		2,615,839	$	43,266
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I(c)		7,094,822		151,474
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I(c)		9,596,203		213,036
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d)		3,192,018		35,368
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(e)		250,553		6,139
Lord Abbett Investment Trust-High Yield Fund-Class I(f)		38,051,067		292,993
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(g)		33,425,595		272,084
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(h)		7,606,939		204,398
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(i)		11,871,427		52,828
Total Investments in Underlying Funds (cost $1,187,339,480)				1,271,586

	Principal		Fair
	Amount		Value
Investments	(000)		(000)
SHORT-TERM INVESTMENT 0.13%
Repurchase Agreement
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $1,605,000 of U.S. Treasury Note at 1.50% due 2/28/2019; value: $1,628,568; proceeds: $1,594,919 (cost $1,594,919)		$1,595	$	1,595
Total Investments in Securities 99.75% (cost $1,188,934,399)				1,273,181
Other Assets in Excess of Liabilities(j) 0.25%				3,250
Net Assets 100.00%			$	1,276,431

*	Non-income producing security.
(a)	Affiliated issuers (See Note 10).
(b)	Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value.
(c)	Fund investment objective is total return.
(d)	Fund investment objective is to seek income and capital appreciation to produce a high total return.
(e)	Fund investment objective is capital appreciation.
(f)	Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return.
(g)	Fund investment objective is to seek a high level of total return.
(h)	Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace.
(i)	Fund investment objective is to seek a high level of income consistent with preservation of capital.
(j)	Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on credit default swaps and forward foreign currency exchange contracts as follows:

See Notes to Financial Statements. 11

Schedule of Investments (unaudited)(continued)

MULTI-ASSET GROWTH FUND May 31, 2015

Centrally Cleared Credit Default Swaps on Indexes—Buy Protection at May 31, 2015⁽¹⁾:

Upfront

Referenced

Fund

Termination

Notional

Central

Market

Payments

Unrealized

Index

Pays

Date

Amount

Clearinghouse

Value(2)

Received(3)

Depreciation

Fair Value(4)

Markit CDX. NA.HY.24

5.00

%

6/20/2020

$12,000,000

Credit Suisse

$11,150,423

$(796,287

)

$(53,290

)

$(849,577

)

(1)	If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities.
(2)	Fair value serves as the indicator of the current status of payment/performance risk.
(3)	Upfront payments received are presented net of amortization (See Note 2(h)).
(4)	Includes upfront payments received and unrealized appreciation/(depreciation). Amount is included in variation margin for centrally cleared default swap agreements in the Statements of Assets and Liabilities.

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward

Foreign

U.S. $

Currency

Cost on

U.S. $

Exchange

Transaction

Expiration

Foreign

Origination

Current

Unrealized

Contracts

Type

Counterparty

Date

Currency

Date

Value

Appreciation

Thai baht

Buy

Citibank N.A.

8/20/2015

179,300,000

$5,300,829

$5,316,784

$

15,955

Australian dollar

Sell

Bank of America

8/27/2015

38,000,000

29,609,828

28,918,983

690,845

British pound

Sell

Morgan Stanley

8/27/2015

15,588,000

24,161,185

23,809,734

351,451

Canadian dollar

Sell

Bank of America

8/27/2015

12,662,000

10,295,155

10,168,397

126,758

euro

Sell

Bank of America

8/27/2015

24,534,000

27,100,257

26,978,372

121,885

Unrealized Appreciation on Forward Foreign Currency Exchange Contracts

$

1,306,894

Forward
Foreign						U.S. $
Currency						Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign		Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency		Date		Value		Depreciation
Brazilian real	Buy	Goldman Sachs	8/20/2015		16,600,000		$5,353,800		$5,068,011		$	(285,789	)
Indian rupee	Buy	Morgan Stanley	8/20/2015		116,000,000		1,799,007		1,792,936			(6,071	)
Malaysian ringgit	Buy	Morgan Stanley	8/20/2015		26,600,000		7,408,439		7,239,954			(168,485	)
South African rand	Buy	Morgan Stanley	8/20/2015		43,400,000		3,601,185		3,526,250			(74,935	)
Turkish lira	Buy	Citibank N.A.	8/20/2015		14,100,000		5,337,614		5,177,867			(159,747	)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts											$	(695,027	)

12 See Notes to Financial Statements.

Schedule of Investments (unaudited)(concluded)

MULTI-ASSET GROWTH FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

	Level 1		Level 2			Level 3		Total
Investment Type(2)(3)	(000)		(000)			(000)		(000)
Investments in Underlying Funds	$	1,271,586	$	–		$	–	$	1,271,586
Repurchase Agreement		–		1,595			–		1,595
Total	$	1,271,586	$	1,595		$	–	$	1,273,181
Other Financial Instruments
Credit Default Swaps
Assets	$	–	$	–		$	–	$	–
Liabilities		–		(850	)		–		(850	)
Forward Foreign Currency Exchange Contracts
Assets		–		1,307			–		1,307
Liabilities		–		(695	)		–		(695	)
Total	$	–	$	(238	)	$	–	$	(238	)

(1)	Refer to Note 2(j) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each investment strategy of underlying funds.
(3)	There were no level transfers during the period ended May 31, 2015.

See Notes to Financial Statements. 13

Schedule of Investments (unaudited)

MULTI-ASSET INCOME FUND May 31, 2015

			Fair
			Value
Investments	Shares		(000)
INVESTMENTS IN UNDERLYING FUNDS(a) 99.71%
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I(b)		5,820,857	$	129,223
Lord Abbett Investment Trust-Convertible Fund-Class I(c)		20,868,323		263,567
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d)		7,441,781		82,455
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I(e)		42,637,639		237,492
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(f)		590,577		14,469
Lord Abbett Investment Trust-High Yield Fund-Class I(g)		109,475,366		842,960
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(h)		35,288,129		287,245
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(i)		2,966,218		79,702
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(j)		137,096,545		610,080
Total Investments in Underlying Funds (cost $2,606,108,074)				2,547,193

	Principal		Fair
	Amount		Value
Investments	(000)		(000)
SHORT-TERM INVESTMENT 0.01%
Repurchase Agreement
Repurchase Agreement dated 5/29/2015, Zero Coupon due 6/1/2015 with Fixed Income Clearing Corp. collateralized by $360,000 of U.S. Treasury Note at 1.50% due 2/28/2019; value: $365,286; proceeds: $353,534 (cost $353,534)		$354	$	354
Total Investments in Securities 99.72% (cost $2,606,461,608)				2,547,547
Other Assets in Excess of Liabilities(k) 0.28%				7,204
Net Assets 100.00%			$	2,554,751

*	Non-income producing security.
(a)	Affiliated issuers (See Note 10).
(b)	Fund investment objective is total return.
(c)	Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return.
(d)	Fund investment objective is to seek income and capital appreciation to produce a high total return.
(e)	Fund investment objective is to seek high total return.
(f)	Fund investment objective is capital appreciation.
(g)	Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return.
(h)	Fund investment objective is to seek a high level of total return.
(i)	Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace.
(j)	Fund investment objective is to seek a high level of income consistent with preservation of capital.
(k)	Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on credit default swaps, forward foreign currency exchange contracts and futures contracts as follows:

14 See Notes to Financial Statements.

Schedule of Investments (unaudited)(continued)

MULTI-ASSET INCOME FUND May 31, 2015

Centrally Cleared Credit Default Swaps on Indexes—Buy Protection at May 31, 2015⁽¹⁾:

Upfront

Referenced

Fund

Termination

Notional

Central

Market

Payments

Unrealized

Index

Pays

Date

Amount

Clearinghouse

Value(2)

Received(3)

Depreciation

Fair Value(4)

Markit CDX. NA.HY.24

5.00

%

6/20/2020

$

17,000,000

Credit Suisse

$15,796,432

$(1,128,074

)

$(75,494

)

$(1,203,568

)

(1)	If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities.
(2)	Fair value serves as the indicator of the current status of payment/performance risk
(3)	Upfront payments received are presented net of amortization (See Note 2(h)).
(4)	Includes upfront payments received and unrealized appreciation/(depreciation). Amount is included in variation margin for centrally cleared default swap agreements in the Statements of Assets and Liabilities.

Open Forward Foreign Currency Exchange Contracts at May 31, 2015:

Forward

Foreign

U.S. $

Currency

Cost on

U.S. $

Exchange

Transaction

Expiration

Foreign

Origination

Current

Unrealized

Contracts

Type

Counterparty

Date

Currency

Date

Value

Appreciation

Thai baht

Buy

Citibank N.A.

8/20/2015

61,400,000

$

1,815,231

$

1,820,695

$

5,464

Australian dollar

Sell

Bank of America

8/27/2015

55,900,000

43,557,615

42,541,346

1,016,269

British pound

Sell

Morgan Stanley

8/27/2015

22,490,000

34,859,190

34,352,124

507,066

Canadian dollar

Sell

Bank of America

8/27/2015

27,838,000

22,634,379

22,355,697

278,682

euro

Sell

Bank of America

8/27/2015

43,145,000

47,657,967

47,443,623

214,344

Unrealized Appreciation on Forward Foreign Currency Exchange Contracts

$

2,021,825

Forward
Foreign						U.S. $
Currency						Cost on		U.S. $
Exchange	Transaction		Expiration	Foreign		Origination		Current		Unrealized
Contracts	Type	Counterparty	Date	Currency		Date		Value		Depreciation
Brazilian real	Buy	Goldman Sachs	8/20/2015		5,600,000		$1,806,101		$1,709,690		$	(96,411	)
Indian rupee	Buy	Morgan Stanley	8/20/2015		39,700,000		615,695		613,617			(2,078	)
Malaysian ringgit	Buy	Morgan Stanley	8/20/2015		9,100,000		2,534,466		2,476,826			(57,640	)
South African rand	Buy	Morgan Stanley	8/20/2015		14,700,000		1,219,756		1,194,375			(25,381	)
Turkish lira	Buy	Citibank N.A.	8/20/2015		4,800,000		1,817,060		1,762,678			(54,382	)
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts											$	(235,892	)

Open Futures Contracts at May 31, 2015:

					Unrealized
Type	Expiration	Contracts	Position	Fair Value	Depreciation
E-Mini S&P 500 Index	June 2015	74	Short	$(7,792,200)	$(147,228)

See Notes to Financial Statements. 15

Schedule of Investments (unaudited)(concluded)

MULTI-ASSET INCOME FUND May 31, 2015

The following is a summary of the inputs used as of May 31, 2015 in valuing the Fund’s investments carried at fair value⁽¹⁾:

	Level 1			Level 2			Level 3		Total
Investment Type(2)(3)	(000)			(000)			(000)		(000)
Investments in Underlying Funds	$	2,547,193		$	–		$	–	$	2,547,193
Repurchase Agreement		–			354			–		354
Total	$	2,547,193		$	354		$	–	$	2,547,547
Other Financial Instruments
Credit Default Swaps
Assets	$	–		$	–		$	–	$	–
Liabilities		–			(1,204	)		–		(1,204	)
Forward Foreign Currency Exchange Contracts
Assets		–			2,022			–		2,022
Liabilities		–			(236	)		–		(236	)
Futures Contracts
Assets		–			–			–		–
Liabilities		(147	)		–			–		(147	)
Total	$	(147	)	$	582		$	–	$	435

(1)	Refer to Note 2(j) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)	See Schedule of Investments for fair values in each investment strategy of underlying funds.
(3)	There were no level transfers during the period ended May 31, 2015.

16 See Notes to Financial Statements.

This page is intentionally left blank.

Statements of Assets and Liabilities (unaudited)

May 31, 2015

	Diversified Equity Strategy Fund		Multi-Asset Balanced Opportunity Fund
ASSETS:
Investments, at cost	$	238,126,423	$	2,124,423,652
Investments, at fair value	$	287,487,414	$	2,247,573,409
Deposits with brokers for derivatives collateral		–		855,064
Receivables:
Dividends		–		3,033,972
Capital shares sold		418,794		11,486,422
From affiliates (See Note 3)		45,008		198,641
Variation margin for futures contracts		–		11,775
Unrealized appreciation on forward foreign currency exchange contracts		–		1,789,345
Prepaid expenses and other assets		73,936		121,689
Total assets		288,025,152		2,265,070,317
LIABILITIES:
Payables:
Investment in Underlying Funds purchased		93,808		4,685,085
Capital shares reacquired		169,287		2,588,859
12b-1 distribution plan		55,066		725,111
Trustees’ fees		19,083		204,429
Management fee		–		190,268
Variation margin for centrally cleared credit default swap agreements		–		9,570
Unrealized depreciation on forward foreign currency exchange contracts		–		202,029
Distributions payable		–		1,978,938
Accrued expenses		74,152		278,464
Total liabilities		411,396		10,862,753
NET ASSETS	$	287,613,756	$	2,254,207,564
COMPOSITION OF NET ASSETS:
Paid-in capital	$	233,149,900	$	2,087,848,872
Undistributed (distributions in excess of) net investment income		816,381		(18,387,808	)
Accumulated net realized gain on investments, futures contracts, swaps and foreign currency related transactions		4,286,484		60,105,883
Net unrealized appreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		49,360,991		124,640,617
Net Assets	$	287,613,756	$	2,254,207,564

18 See Notes to Financial Statements.

Statements of Assets and Liabilities (unaudited)(continued)

May 31, 2015

	Diversified Equity Strategy Fund		Multi-Asset Balanced Opportunity Fund
Net assets by class:
Class A Shares	$	174,062,629	$	1,640,187,169
Class B Shares	$	5,614,585	$	28,328,876
Class C Shares	$	69,758,125	$	425,969,654
Class F Shares	$	4,310,397	$	83,785,564
Class I Shares	$	19,630,295	$	33,983,820
Class P Shares		–	$	1,095,823
Class R2 Shares	$	275,732	$	1,112,751
Class R3 Shares	$	13,961,993	$	39,743,907
Outstanding shares by class (unlimited number of authorized shares of beneficial interest):
Class A Shares		8,609,899		133,639,163
Class B Shares		283,968		2,308,773
Class C Shares		3,546,711		34,883,046
Class F Shares		213,222		6,831,408
Class I Shares		963,506		2,769,819
Class P Shares		–		89,614
Class R2 Shares		13,458		89,129
Class R3 Shares		697,421		3,244,539
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value		$20.22		$12.27
Class A Shares-Maximum offering price (Net asset value plus sales charge of 5.75% and 2.25%, respectively)		$21.45		$12.55
Class B Shares-Net asset value		$19.77		$12.27
Class C Shares-Net asset value		$19.67		$12.21
Class F Shares-Net asset value		$20.22		$12.26
Class I Shares-Net asset value		$20.37		$12.27
Class P Shares-Net asset value		–		$12.23
Class R2 Shares-Net asset value		$20.49		$12.48
Class R3 Shares-Net asset value		$20.02		$12.25

See Notes to Financial Statements. 19

Statements of Assets and Liabilities (unaudited)(continued)

May 31, 2015

	Multi-Asset Growth Fund			Multi-Asset Income Fund
ASSETS:
Investments, at cost	$	1,188,934,399		$	2,606,461,608
Investments, at fair value	$	1,273,181,030		$	2,547,546,779
Deposits with brokers for derivatives collateral		956,851			1,132,606
Receivables:
Dividends		1,468,587			6,077,567
Capital shares sold		5,067,251			16,288,988
From affiliates (See Note 3)		128,538			198,605
Variation margin for futures contracts		–			58,090
Unrealized appreciation on forward foreign currency exchange contracts		1,306,894			2,021,825
Prepaid expenses and other assets		102,867			145,603
Total assets		1,282,212,018			2,573,470,063
LIABILITIES:
Payables:
Investment in Underlying Funds purchased		2,968,856			6,963,157
Capital shares reacquired		1,358,615			5,359,638
12b-1 distribution plan		399,559			990,786
Trustees’ fees		78,970			95,680
Management fee		107,787			216,227
Variation margin for centrally cleared credit default swap agreements		7,295			10,836
Unrealized depreciation on forward foreign currency exchange contracts		695,027			235,892
Distributions payable		–			4,603,734
Accrued expenses		164,992			243,119
Total liabilities		5,781,101			18,719,069
NET ASSETS	$	1,276,430,917		$	2,554,750,994
COMPOSITION OF NET ASSETS:
Paid-in capital	$	1,166,513,697		$	2,573,230,138
Distributions in excess of net investment income		(1,600,513	)		(24,561,864	)
Accumulated net realized gain on investments, futures contracts, swaps and foreign currency related transactions		26,712,525			63,434,338
Net unrealized appreciation (depreciation) on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		84,805,208			(57,351,618	)
Net Assets	$	1,276,430,917		$	2,554,750,994

20 See Notes to Financial Statements.

Statements of Assets and Liabilities (unaudited)(concluded)

May 31, 2015

	Multi-Asset Growth Fund		Multi-Asset Income Fund
Net assets by class:
Class A Shares	$	893,066,391	$	1,112,524,351
Class B Shares	$	18,757,333	$	5,820,277
Class C Shares	$	250,669,987	$	827,468,626
Class F Shares	$	70,842,320	$	571,624,913
Class I Shares	$	15,362,802	$	21,902,020
Class P Shares	$	2,037		–
Class R2 Shares	$	243,652	$	682,857
Class R3 Shares	$	27,486,395	$	14,727,950
Outstanding shares by class (unlimited number of authorized shares of beneficial interest):
Class A Shares		49,135,155		72,835,682
Class B Shares		1,039,602		376,191
Class C Shares		13,919,022		53,500,106
Class F Shares		3,899,232		37,429,956
Class I Shares		841,268		1,440,957
Class P Shares		110.86		–
Class R2 Shares		13,199		43,707
Class R3 Shares		1,516,700		964,035
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares):
Class A Shares-Net asset value		$18.18		$15.27
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)		$18.60		$15.62
Class B Shares-Net asset value		$18.04		$15.47
Class C Shares-Net asset value		$18.01		$15.47
Class F Shares-Net asset value		$18.17		$15.27
Class I Shares-Net asset value		$18.26		$15.20
Class P Shares-Net asset value		$18.37		–
Class R2 Shares-Net asset value		$18.46		$15.62
Class R3 Shares-Net asset value		$18.12		$15.28

See Notes to Financial Statements. 21

Statements of Operations (unaudited)

For the Six Months Ended May 31, 2015

	Diversified Equity Strategy Fund			Multi-Asset Balanced Opportunity Fund
Investment income:
Dividends received from Underlying Funds	$	1,444,850		$	30,845,748
Total investment income		1,444,850			30,845,748
Expenses:
Management fee		139,473			1,067,230
12b-1 distribution plan-Class A		209,703			1,944,517
12b-1 distribution plan-Class B		31,078			155,376
12b-1 distribution plan-Class C		334,284			1,953,835
12b-1 distribution plan-Class F		2,009			38,657
12b-1 distribution plan-Class P		–			2,808
12b-1 distribution plan-Class R2		781			3,365
12b-1 distribution plan-Class R3		32,028			92,667
Shareholder servicing		217,992			1,112,776
Registration		52,306			93,333
Reports to shareholders		10,672			67,414
Professional		16,833			19,562
Trustees’ fees		4,094			31,168
Custody		3,272			16,067
Other		8,188			40,794
Gross expenses		1,062,713			6,639,569
Expense reductions (See Note 9)		(99	)		(919	)
Expenses assumed by Underlying Funds (See Note 3)		(313,257	)		(1,380,195	)
Management fee waived (See Note 3)		(139,473	)		–
Net expenses		609,884			5,258,455
Net investment income		834,966			25,587,293
Net realized and unrealized gain (loss):
Capital gain distributions received from Underlying Funds		5,839,872			52,115,699
Net realized gain on investments in Underlying Funds		4,530,061			15,695,657
Net realized gain on futures contracts, swaps and foreign currency related transactions		–			3,010,283
Net change in unrealized appreciation/depreciation on investments in Underlying Funds		2,376,582			(42,523,575	)
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		–			1,541,196
Net realized and unrealized gain		12,746,515			29,839,260
Net Increase in Net Assets Resulting From Operations	$	13,581,481		$	55,426,553

22 See Notes to Financial Statements.

Statements of Operations (unaudited)(concluded)

For the Six Months Ended May 31, 2015

	Multi-Asset Growth Fund			Multi-Asset Income Fund
Investment income:
Dividends received from Underlying Funds	$	15,229,333		$	49,986,387
Interest and other		–			398
Total investment income		15,229,333			49,986,785
Expenses:
Management fee		600,517			1,245,337
12b-1 distribution plan-Class A		1,064,839			1,360,288
12b-1 distribution plan-Class B		100,599			31,393
12b-1 distribution plan-Class C		1,124,417			3,927,683
12b-1 distribution plan-Class F		30,293			287,309
12b-1 distribution plan-Class P		4			–
12b-1 distribution plan-Class R2		785			2,134
12b-1 distribution plan-Class R3		60,770			32,584
Shareholder servicing		697,781			1,008,371
Registration		73,687			126,612
Reports to shareholders		41,148			67,023
Professional		18,172			20,407
Trustees’ fees		17,396			37,051
Custody		10,458			19,273
Other		25,822			39,916
Gross expenses		3,866,688			8,205,381
Expense reductions (See Note 9)		(501	)		(1,136	)
Expenses assumed by Underlying Funds (See Note 3)		(883,963	)		(1,317,517	)
Net expenses		2,982,224			6,886,728
Net investment income		12,247,109			43,100,057
Net realized and unrealized gain (loss):
Capital gain distributions received from Underlying Funds		20,226,563			62,088,932
Net realized gain on investments in Underlying Funds		6,978,547			6,889,075
Net realized gain on futures contracts, swaps and foreign currency related transactions		3,306,345			2,923,504
Net change in unrealized appreciation/depreciation on investments in Underlying Funds		(5,257,379	)		(65,109,538	)
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		479,403			1,882,263
Net realized and unrealized gain		25,733,479			8,674,236
Net Increase in Net Assets Resulting From Operations	$	37,980,588		$	51,774,293

See Notes to Financial Statements. 23

Statements of Changes in Net Assets

	Diversified Equity Strategy Fund
INCREASE IN NET ASSETS	For the Six Months Ended May 31, 2015 (unaudited)			For the Year Ended November 30, 2014
Operations:
Net investment income	$	834,966		$	1,639,471
Capital gains distributions received from Underlying Funds		5,839,872			23,443,030
Net realized gain on investments in Underlying Funds		4,530,061			12,883,249
Net change in unrealized appreciation/depreciation on investments in Underlying Funds		2,376,582			(15,547,531	)
Net increase in net assets resulting from operations		13,581,481			22,418,219
Distributions to shareholders from:
Net investment income
Class A		(3,394,820	)		(4,834,279	)
Class B		(85,364	)		(188,138	)
Class C		(975,229	)		(1,549,741	)
Class F		(96,638	)		(119,777	)
Class I		(418,534	)		(538,596	)
Class R2		(4,300	)		(3,083	)
Class R3		(228,761	)		(243,471	)
Net realized gain
Class A		(18,182,348	)		(10,436,987	)
Class B		(745,180	)		(531,462	)
Class C		(7,583,094	)		(4,178,978	)
Class F		(484,652	)		(248,191	)
Class I		(2,019,078	)		(1,085,198	)
Class R2		(27,371	)		(15,206	)
Class R3		(1,337,736	)		(566,404	)
Total distributions to shareholders		(35,583,105	)		(24,539,511	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		30,246,021			51,085,374
Reinvestment of distributions		33,932,713			23,256,098
Cost of shares reacquired		(28,674,868	)		(61,450,782	)
Net increase in net assets resulting from capital share transactions		35,503,866			12,890,690
Net increase in net assets		13,502,242			10,769,398
NET ASSETS:
Beginning of period	$	274,111,514		$	263,342,116
End of period	$	287,613,756		$	274,111,514
Undistributed net investment income	$	816,381		$	5,185,061

24 See Notes to Financial Statements.

Statements of Changes in Net Assets (continued)

	Multi-Asset Balanced Opportunity Fund
INCREASE IN NET ASSETS	For the Six Months Ended May 31, 2015 (unaudited)			For the Year Ended November 30, 2014
Operations:
Net investment income	$	25,587,293		$	52,779,367
Capital gains distributions received from Underlying Funds		52,115,699			71,979,509
Net realized gain on investments in Underlying Funds		15,695,657			72,005,131
Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions		3,010,283			(344,259	)
Net change in unrealized appreciation/depreciation on investments in Underlying Funds		(42,523,575	)		(44,406,465	)
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		1,541,196			(50,336	)
Net increase in net assets resulting from operations		55,426,553			151,962,947
Distributions to shareholders from:
Net investment income
Class A		(51,419,123	)		(65,427,809	)
Class B		(975,209	)		(1,563,898	)
Class C		(11,474,530	)		(11,818,075	)
Class F		(2,568,310	)		(2,020,375	)
Class I		(1,230,817	)		(1,739,132	)
Class P		(40,808	)		(63,621	)
Class R2		(41,212	)		(75,861	)
Class R3		(1,177,140	)		(1,506,901	)
Net realized gain
Class A		(57,728,795	)		–
Class B		(1,267,924	)		–
Class C		(14,400,302	)		–
Class F		(2,792,720	)		–
Class I		(1,348,564	)		–
Class P		(47,263	)		–
Class R2		(53,724	)		–
Class R3		(1,357,233	)		–
Total distributions to shareholders		(147,923,674	)		(84,215,672	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		340,104,449			523,413,716
Reinvestment of distributions		141,817,249			81,119,827
Cost of shares reacquired		(220,021,378	)		(365,594,068	)
Net increase in net assets resulting from capital share transactions		261,900,320			238,939,475
Net increase in net assets		169,403,199			306,686,750
NET ASSETS:
Beginning of period	$	2,084,804,365		$	1,778,117,615
End of period	$	2,254,207,564		$	2,084,804,365
Undistributed (distributions in excess of) net investment income	$	(18,387,808	)	$	24,952,048

See Notes to Financial Statements. 25

Statements of Changes in Net Assets (continued)

	Multi-Asset Growth Fund
INCREASE IN NET ASSETS	For the Six Months Ended May 31, 2015 (unaudited)			For the Year Ended November 30, 2014
Operations:
Net investment income	$	12,247,109		$	28,146,624
Capital gains distributions received from Underlying Funds		20,226,563			43,575,461
Net realized gain on investments in Underlying Funds		6,978,547			51,300,300
Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions		3,306,345			(120,025	)
Net change in unrealized appreciation/depreciation on investments in Underlying Funds		(5,257,379	)		(23,688,367	)
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		479,403			79,174
Net increase in net assets resulting from operations		37,980,588			99,293,167
Distributions to shareholders from:
Net investment income
Class A		(28,071,893	)		(32,748,118	)
Class B		(630,971	)		(911,220	)
Class C		(6,548,424	)		(6,180,287	)
Class F		(1,913,319	)		(1,010,002	)
Class I		(484,442	)		(520,856	)
Class P		(64	)		(104	)
Class R2		(8,811	)		(8,404	)
Class R3		(780,555	)		(803,158	)
Net realized gain
Class A		(52,501,751	)		(21,431,659	)
Class B		(1,360,943	)		(780,229	)
Class C		(13,547,586	)		(4,733,646	)
Class F		(3,386,353	)		(504,521	)
Class I		(867,457	)		(314,020	)
Class P		(123	)		(101	)
Class R2		(18,029	)		(5,363	)
Class R3		(1,497,548	)		(541,369	)
Total distributions to shareholders		(111,618,269	)		(70,493,057	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		203,137,270			278,465,698
Reinvestment of distributions		107,145,460			68,245,088
Cost of shares reacquired		(120,310,394	)		(199,393,028	)
Net increase in net assets resulting from capital share transactions		189,972,336			147,317,758
Net increase in net assets		116,334,655			176,117,868
NET ASSETS:
Beginning of period	$	1,160,096,262		$	983,978,394
End of period	$	1,276,430,917		$	1,160,096,262
Undistributed (distributions in excess of) net investment income	$	(1,600,513	)	$	24,590,857

26 See Notes to Financial Statements.

Statements of Changes in Net Assets (concluded)

	Multi-Asset Income Fund
INCREASE IN NET ASSETS	For the Six Months Ended May 31, 2015 (unaudited)			For the Year Ended November 30, 2014
Operations:
Net investment income	$	43,100,057		$	66,072,789
Capital gains distributions received from Underlying Funds		62,088,932			36,513,363
Net realized gain on investments in Underlying Funds		6,889,075			32,387,610
Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions		2,923,504			(95,134	)
Net change in unrealized appreciation/depreciation on investments in Underlying Funds		(65,109,538	)		(43,069,459	)
Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies		1,882,263			(319,052	)
Net increase in net assets resulting from operations		51,774,293			91,490,117
Distributions to shareholders from:
Net investment income
Class A		(33,851,639	)		(38,703,289	)
Class B		(174,125	)		(294,572	)
Class C		(20,987,847	)		(20,828,461	)
Class F		(18,492,871	)		(20,095,051	)
Class I		(692,060	)		(601,660	)
Class R2		(20,692	)		(41,954	)
Class R3		(389,619	)		(452,816	)
Net realized gain
Class A		(24,914,797	)		(13,377,613	)
Class B		(152,110	)		(168,449	)
Class C		(17,218,883	)		(8,571,212	)
Class F		(13,558,415	)		(6,066,650	)
Class I		(486,892	)		(98,853	)
Class R2		(16,662	)		(20,037	)
Class R3		(290,921	)		(187,530	)
Total distributions to shareholders		(131,247,533	)		(109,508,147	)
Capital share transactions (Net of share conversions) (See Note 13):
Net proceeds from sales of shares		488,086,204			1,666,862,066
Reinvestment of distributions		113,421,060			94,776,385
Cost of shares reacquired		(492,693,517	)		(516,663,438	)
Net increase in net assets resulting from capital share transactions		108,813,747			1,244,975,013
Net increase in net assets		29,340,507			1,226,956,983
NET ASSETS:
Beginning of period	$	2,525,410,487		$	1,298,453,504
End of period	$	2,554,750,994		$	2,525,410,487
Undistributed (distributions in excess of) net investment income	$	(24,561,864	)	$	6,946,932

See Notes to Financial Statements. 27

Financial Highlights

DIVERSIFIED EQUITY STRATEGY FUND

	Class A Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$22.12		$22.38		$16.90		$15.40		$15.43		$13.66
Investment operations:
Net investment income(a)	.08		.17		.17		.11		.05		.02
Net realized and unrealized gain (loss)	.89		1.68		5.46		1.48		(.06	)	1.77
Total from investment operations	.97		1.85		5.63		1.59		(.01	)	1.79
Distributions to shareholders from:
Net investment income	(.45	)	(.67	)	(.15	)	(.09	)	(.02	)	(.02	)
Net realized gain	(2.42	)	(1.44	)	–		–		–		–
Total distributions	(2.87	)	(2.11	)	(.15	)	(.09	)	(.02	)	(.02	)
Net asset value, end of period	$20.22		$22.12		$22.38		$16.90		$15.40		$15.43
Total Return(b)	5.01	%(c)	8.97	%	33.60	%	10.39	%	(.06	)%	13.08	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.12	%(c)	.25	%	.25	%	.25	%	.28	%	.35	%
Expenses, including expense reductions, expenses assumed and management fee waived	.12	%(c)	.25	%	.25	%	.25	%	.28	%	.35	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.29	%(c)	.59	%	.60	%	.62	%	.65	%	.76	%
Net investment income	.40	%(c)	.80	%	.86	%	.68	%	.31	%	.16	%
Supplemental Data:
Net assets, end of period (000)	$174,063		$163,889		$162,519		$109,293		$110,754		$100,469
Portfolio turnover rate	3.22	%(c)	10.38	%	27.24	%	11.66	%	12.93	%	7.72	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

28 See Notes to Financial Statements.

Financial Highlights (continued)

DIVERSIFIED EQUITY STRATEGY FUND

	Class B Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$21.59		$21.89		$16.53		$15.08		$15.20		$13.53
Investment operations:
Net investment income (loss)(a)	.01		.01		.03		–	(b)	(.06	)	(.07	)
Net realized and unrealized gain (loss)	.87		1.64		5.35		1.45		(.06	)	1.74
Total from investment operations	.88		1.65		5.38		1.45		(.12	)	1.67
Distributions to shareholders from:
Net investment income	(.28	)	(.51	)	(.02	)	–		–		–
Net realized gain	(2.42	)	(1.44	)	–		–		–		–
Total distributions	(2.70	)	(1.95	)	(.02	)	–		–		–
Net asset value, end of period	$19.77		$21.59		$21.89		$16.53		$15.08		$15.20
Total Return(c)	4.61	%(d)	8.14	%	32.56	%	9.62	%	(.79	)%	12.34	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.50	%(d)	1.00	%	1.00	%	1.00	%	1.00	%	1.00	%
Expenses, including expense reductions, expenses assumed and management fee waived	.50	%(d)	1.00	%	1.00	%	1.00	%	1.00	%	1.00	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.66	%(d)	1.34	%	1.35	%	1.37	%	1.37	%	1.41	%
Net investment income (loss)	.04	%(d)	.07	%	.17	%	.00	%	(.37	)%	(.49	)%
Supplemental Data:
Net assets, end of period (000)	$5,615		$6,762		$7,940		$6,881		$8,126		$9,215
Portfolio turnover rate	3.22	%(d)	10.38	%	27.24	%	11.66	%	12.93	%	7.72	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

See Notes to Financial Statements. 29

Financial Highlights (continued)

DIVERSIFIED EQUITY STRATEGY FUND

	Class C Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$21.52		$21.85		$16.51		$15.06		$15.18		$13.50
Investment operations:
Net investment income (loss)(a)	–	(b)	.01		.03		(.01	)	(.06	)	(.07	)
Net realized and unrealized gain (loss)	.88		1.63		5.34		1.46		(.06	)	1.75
Total from investment operations	.88		1.64		5.37		1.45		(.12	)	1.68
Distributions to shareholders from:
Net investment income	(.31	)	(.53	)	(.03	)	–		–		–
Net realized gain	(2.42	)	(1.44	)	–		–		–		–
Total distributions	(2.73	)	(1.97	)	(.03	)	–		–		–
Net asset value, end of period	$19.67		$21.52		$21.85		$16.51		$15.06		$15.18
Total Return(c)	4.65	%(d)	8.14	%	32.61	%	9.63	%	(.79	)%	12.44	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.49	%(d)	.98	%	.97	%	.97	%	.96	%	1.00	%
Expenses, including expense reductions, expenses assumed and management fee waived	.49	%(d)	.98	%	.97	%	.97	%	.96	%	1.00	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.65	%(d)	1.31	%	1.33	%	1.34	%	1.32	%	1.41	%
Net investment income (loss)	.02	%(d)	.07	%	.14	%	(.04	)%	(.36	)%	(.48	)%
Supplemental Data:
Net assets, end of period (000)	$69,758		$68,007		$63,087		$43,073		$40,198		$38,646
Portfolio turnover rate	3.22	%(d)	10.38	%	27.24	%	11.66	%	12.93	%	7.72	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(d)	Not annualized.

30 See Notes to Financial Statements.

Financial Highlights (continued)

DIVERSIFIED EQUITY STRATEGY FUND

	Class F Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$22.13		$22.39		$16.90		$15.41		$15.45		$13.67
Investment operations:
Net investment income(a)	.10		.20		.20		.14		.05		.05
Net realized and unrealized gain (loss)	.89		1.67		5.46		1.47		(.03	)	1.77
Total from investment operations	.99		1.87		5.66		1.61		.02		1.82
Distributions to shareholders from:
Net investment income	(.48	)	(.69	)	(.17	)	(.12	)	(.06	)	(.04	)
Net realized gain	(2.42	)	(1.44	)	–		–		–		–
Total distributions	(2.90	)	(2.13	)	(.17	)	(.12	)	(.06	)	(.04	)
Net asset value, end of period	$20.22		$22.13		$22.39		$16.90		$15.41		$15.45
Total Return(b)	5.12	%(c)	9.11	%	33.79	%	10.54	%	.11	%	13.38	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.05	%(c)	.10	%	.10	%	.10	%	.10	%	.10	%
Expenses, including expense reductions, expenses assumed and management fee waived	.05	%(c)	.10	%	.10	%	.10	%	.10	%	.10	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.21	%(c)	.44	%	.46	%	.47	%	.47	%	.51	%
Net investment income	.49	%(c)	.93	%	1.01	%	.83	%	.29	%	.34	%
Supplemental Data:
Net assets, end of period (000)	$4,310		$4,560		$3,905		$2,821		$5,023		$1,214
Portfolio turnover rate	3.22	%(c)	10.38	%	27.24	%	11.66	%	12.93	%	7.72	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 31

Financial Highlights (continued)

DIVERSIFIED EQUITY STRATEGY FUND

	Class I Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$22.29		$22.54		$17.02		$15.52		$15.55		$13.75
Investment operations:
Net investment income(a)	.10		.22		.22		.16		.09		.07
Net realized and unrealized gain (loss)	.90		1.68		5.50		1.47		(.05	)	1.78
Total from investment operations	1.00		1.90		5.72		1.63		.04		1.85
Distributions to shareholders from:
Net investment income	(.50	)	(.71	)	(.20	)	(.13	)	(.07	)	(.05	)
Net realized gain	(2.42	)	(1.44	)	–		–		–		–
Total distributions	(2.92	)	(2.15	)	(.20	)	(.13	)	(.07	)	(.05	)
Net asset value, end of period	$20.37		$22.29		$22.54		$17.02		$15.52		$15.55
Total Return(b)	5.13	%(c)	9.20	%	33.95	%	10.64	%	.24	%	13.53	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.00	%(c)	.00	%	.00	%	.00	%	.00	%	.00	%
Expenses, including expense reductions, expenses assumed and management fee waived	.00	%(c)	.00	%	.00	%	.00	%	.00	%	.00	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.16	%(c)	.34	%	.36	%	.37	%	.37	%	.41	%
Net investment income	.51	%(c)	1.02	%	1.10	%	.97	%	.56	%	.51	%
Supplemental Data:
Net assets, end of period (000)	$19,630		$18,530		$16,586		$11,877		$2,202		$1,300
Portfolio turnover rate	3.22	%(c)	10.38	%	27.24	%	11.66	%	12.93	%	7.72	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

32 See Notes to Financial Statements.

Financial Highlights (continued)

DIVERSIFIED EQUITY STRATEGY FUND

	Class R2 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$22.34		$22.29		$16.85		$15.37		$15.46		$13.72
Investment operations:
Net investment income (loss)(a)	.04		.08		.10		.05		(.02	)	(.03	)
Net realized and unrealized gain (loss)	.91		1.70		5.45		1.48		(.04	)	1.82
Total from investment operations	.95		1.78		5.55		1.53		(.06	)	1.79
Distributions to shareholders from:
Net investment income	(.38	)	(.29	)	(.11	)	(.05	)	(.03	)	(.05	)
Net realized gain	(2.42	)	(1.44	)	–		–		–		–
Total distributions	(2.80	)	(1.73	)	(.11	)	(.05	)	(.03	)	(.05	)
Net asset value, end of period	$20.49		$22.34		$22.29		$16.85		$15.37		$15.46
Total Return(b)	4.83	%(c)	8.56	%	33.14	%	9.99	%	(.39	)%	13.10	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.30	%(c)	.60	%	.60	%	.60	%	.60	%	.55	%
Expenses, including expense reductions, expenses assumed and management fee waived	.30	%(c)	.60	%	.60	%	.60	%	.60	%	.55	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.46	%(c)	.94	%	.95	%	.97	%	.97	%	.94	%
Net investment income (loss)	.21	%(c)	.38	%	.50	%	.29	%	(.09	)%	(.23	)%
Supplemental Data:
Net assets, end of period (000)	$276		$250		$659		$617		$440		$243
Portfolio turnover rate	3.22	%(c)	10.38	%	27.24	%	11.66	%	12.93	%	7.72	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 33

Financial Highlights (concluded)

DIVERSIFIED EQUITY STRATEGY FUND

	Class R3 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$21.91		$22.20		$16.78		$15.30		$15.37		$13.62
Investment operations:
Net investment income (loss)(a)	.05		.11		.10		.06		–	(b)	(.02	)
Net realized and unrealized gain (loss)	.89		1.66		5.45		1.48		(.05	)	1.79
Total from investment operations	.94		1.77		5.55		1.54		(.05	)	1.77
Distributions to shareholders from:
Net investment income	(.41	)	(.62	)	(.13	)	(.06	)	(.02	)	(.02	)
Net realized gain	(2.42	)	(1.44	)	–		–		–		–
Total distributions	(2.83	)	(2.06	)	(.13	)	(.06	)	(.02	)	(.02	)
Net asset value, end of period	$20.02		$21.91		$22.20		$16.78		$15.30		$15.37
Total Return(c)	4.91	%(d)	8.65	%	33.27	%	10.15	%	(.31	)%	13.00	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.25	%(d)	.50	%	.50	%	.50	%	.50	%	.50	%
Expenses, including expense reductions, expenses assumed and management fee waived	.25	%(d)	.50	%	.50	%	.50	%	.50	%	.50	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.41	%(d)	.84	%	.85	%	.87	%	.87	%	.90	%
Net investment income (loss)	.25	%(d)	.51	%	.52	%	.40	%	(.01	)%	(.17	)%
Supplemental Data:
Net assets, end of period (000)	$13,962		$12,115		$8,646		$5,118		$3,604		$1,775
Portfolio turnover rate	3.22	%(d)	10.38	%	27.24	%	11.66	%	12.93	%	7.72	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Amount is less than $.01.
(c)	Total return assumes the reinvestment of all distributions.
(d)	Not annualized.

34 See Notes to Financial Statements.

Financial Highlights

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class A Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$12.87		$12.43		$10.81		$9.93		$10.18		$9.73
Investment operations:
Net investment income(a)	.15		.36		.34		.36		.37		.36
Net realized and unrealized gain (loss)	.16		.66		1.67		.89		(.23	)	.45
Total from investment operations	.31		1.02		2.01		1.25		.14		.81
Distributions to shareholders from:
Net investment income	(.42	)	(.58	)	(.39	)	(.37	)	(.39	)	(.36	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.91	)	(.58	)	(.39	)	(.37	)	(.39	)	(.36	)
Net asset value, end of period	$12.27		$12.87		$12.43		$10.81		$9.93		$10.18
Total Return(b)	2.59	%(c)	8.43	%	18.93	%	12.75	%	1.21	%	8.48	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.17	%(c)	.34	%	.31	%	.30	%	.28	%	.35	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.17	%(c)	.34	%	.31	%	.30	%	.28	%	.35	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.24	%(c)	.49	%	.50	%	.51	%	.54	%	.61	%
Net investment income	1.27	%(c)	2.85	%	2.91	%	3.44	%	3.56	%	3.64	%
Supplemental Data:
Net assets, end of period (000)	$1,640,187		$1,526,897		$1,366,009		$1,106,329		$997,494		$1,022,992
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 35

Financial Highlights (continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class B Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$12.86		$12.43		$10.80		$9.93		$10.18		$9.72
Investment operations:
Net investment income(a)	.11		.26		.25		.29		.30		.30
Net realized and unrealized gain (loss)	.16		.65		1.68		.86		(.24	)	.45
Total from investment operations	.27		.91		1.93		1.15		.06		.75
Distributions to shareholders from:
Net investment income	(.37	)	(.48	)	(.30	)	(.28	)	(.31	)	(.29	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.86	)	(.48	)	(.30	)	(.28	)	(.31	)	(.29	)
Net asset value, end of period	$12.27		$12.86		$12.43		$10.80		$9.93		$10.18
Total Return(b)	2.28	%(c)	7.53	%	18.14	%	11.79	%	.49	%	7.88	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.55	%(c)	1.09	%	1.06	%	1.04	%	1.00	%	1.00	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.55	%(c)	1.09	%	1.06	%	1.04	%	1.00	%	1.00	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.61	%(c)	1.24	%	1.25	%	1.26	%	1.25	%	1.27	%
Net investment income	.92	%(c)	2.09	%	2.16	%	2.74	%	2.87	%	3.00	%
Supplemental Data:
Net assets, end of period (000)	$28,329		$34,133		$43,224		$49,844		$60,612		$79,950
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

36 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class C Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$12.81		$12.38		$10.77		$9.89		$10.15		$9.70
Investment operations:
Net investment income(a)	.11		.27		.25		.28		.30		.30
Net realized and unrealized gain (loss)	.16		.65		1.67		.89		(.24	)	.44
Total from investment operations	.27		.92		1.92		1.17		.06		.74
Distributions to shareholders from:
Net investment income	(.38	)	(.49	)	(.31	)	(.29	)	(.32	)	(.29	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.87	)	(.49	)	(.31	)	(.29	)	(.32	)	(.29	)
Net asset value, end of period	$12.21		$12.81		$12.38		$10.77		$9.89		$10.15
Total Return(b)	2.24	%(c)	7.61	%	18.05	%	11.86	%	.53	%	7.81	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.54	%(c)	1.08	%	1.05	%	1.03	%	.97	%	1.00	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.54	%(c)	1.08	%	1.05	%	1.03	%	.97	%	1.00	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.61	%(c)	1.23	%	1.24	%	1.24	%	1.23	%	1.26	%
Net investment income	.89	%(c)	2.12	%	2.18	%	2.72	%	2.87	%	2.99	%
Supplemental Data:
Net assets, end of period (000)	$425,970		$375,528		$270,358		$191,363		$179,605		$182,662
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 37

Financial Highlights (continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class F Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$12.86		$12.42		$10.80		$9.93		$10.17		$9.72
Investment operations:
Net investment income(a)	.16		.38		.37		.38		.39		.38
Net realized and unrealized gain (loss)	.16		.66		1.66		.87		(.22	)	.45
Total from investment operations	.32		1.04		2.03		1.25		.17		.83
Distributions to shareholders from:
Net investment income	(.43	)	(.60	)	(.41	)	(.38	)	(.41	)	(.38	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.92	)	(.60	)	(.41	)	(.38	)	(.41	)	(.38	)
Net asset value, end of period	$12.26		$12.86		$12.42		$10.80		$9.93		$10.17
Total Return(b)	2.66	%(c)	8.59	%	19.12	%	12.80	%	1.49	%	8.76	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.10	%(c)	.19	%	.17	%	.15	%	.10	%	.10	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.10	%(c)	.19	%	.17	%	.15	%	.10	%	.10	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.16	%(c)	.34	%	.36	%	.36	%	.36	%	.36	%
Net investment income	1.33	%(c)	3.00	%	3.13	%	3.60	%	3.74	%	3.80	%
Supplemental Data:
Net assets, end of period (000)	$83,786		$74,135		$25,465		$9,731		$8,634		$8,039
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

38 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class I Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$12.86		$12.43		$10.80		$9.93		$10.18		$9.73
Investment operations:
Net investment income(a)	.17		.39		.37		.39		.41		.39
Net realized and unrealized gain (loss)	.17		.65		1.68		.87		(.24	)	.45
Total from investment operations	.34		1.04		2.05		1.26		.17		.84
Distributions to shareholders from:
Net investment income	(.44	)	(.61	)	(.42	)	(.39	)	(.42	)	(.39	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.93	)	(.61	)	(.42	)	(.39	)	(.42	)	(.39	)
Net asset value, end of period	$12.27		$12.86		$12.43		$10.80		$9.93		$10.18
Total Return(b)	2.79	%(c)	8.61	%	19.33	%	12.92	%	1.49	%	8.86	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.05	%(c)	.09	%	.06	%	.05	%	.00	%	.00	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.05	%(c)	.09	%	.06	%	.05	%	.00	%	.00	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.11	%(c)	.24	%	.25	%	.26	%	.26	%	.26	%
Net investment income	1.40	%(c)	3.10	%	3.16	%	3.70	%	3.86	%	3.96	%
Supplemental Data:
Net assets, end of period (000)	$33,984		$35,247		$35,744		$32,563		$28,708		$3,731
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 39

Financial Highlights (continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class P Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$12.82		$12.39		$10.77		$9.90		$10.15		$9.70
Investment operations:
Net investment income(a)	.14		.33		.32		.35		.37		.35
Net realized and unrealized gain (loss)	.17		.65		1.67		.86		(.25	)	.45
Total from investment operations	.31		.98		1.99		1.21		.12		.80
Distributions to shareholders from:
Net investment income	(.41	)	(.55	)	(.37	)	(.34	)	(.37	)	(.35	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.90	)	(.55	)	(.37	)	(.34	)	(.37	)	(.35	)
Net asset value, end of period	$12.23		$12.82		$12.39		$10.77		$9.90		$10.15
Total Return(b)	2.58	%(c)	8.15	%	18.76	%	12.44	%	1.04	%	8.39	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.27	%(c)	.54	%	.51	%	.49	%	.45	%	.45	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.27	%(c)	.54	%	.51	%	.49	%	.45	%	.45	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.34	%(c)	.69	%	.70	%	.71	%	.70	%	.71	%
Net investment income	1.19	%(c)	2.66	%	2.72	%	3.44	%	3.45	%	3.55	%
Supplemental Data:
Net assets, end of period (000)	$1,096		$1,286		$1,538		$1,312		$2,435		$5,503
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

40 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class R2 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$13.07		$12.62		$10.97		$10.07		$10.33		$9.84
Investment operations:
Net investment income(a)	.14		.31		.30		.32		.35		.32
Net realized and unrealized gain (loss)	.16		.67		1.70		.91		(.25	)	.50
Total from investment operations	.30		.98		2.00		1.23		.10		.82
Distributions to shareholders from:
Net investment income	(.40	)	(.53	)	(.35	)	(.33	)	(.36	)	(.33	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.89	)	(.53	)	(.35	)	(.33	)	(.36	)	(.33	)
Net asset value, end of period	$12.48		$13.07		$12.62		$10.97		$10.07		$10.33
Total Return(b)	2.43	%(c)	7.99	%	18.52	%	12.37	%	.81	%	8.55	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.35	%(c)	.69	%	.66	%	.65	%	.60	%	.56	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.35	%(c)	.69	%	.66	%	.65	%	.60	%	.56	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.42	%(c)	.84	%	.85	%	.86	%	.86	%	.81	%
Net investment income	1.15	%(c)	2.44	%	2.54	%	3.03	%	3.33	%	3.15	%
Supplemental Data:
Net assets, end of period (000)	$1,113		$1,421		$1,862		$1,185		$1,148		$338
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 41

Financial Highlights (concluded)

MULTI-ASSET BALANCED OPPORTUNITY FUND

	Class R3 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$12.84		$12.41		$10.79		$9.92		$10.17		$9.71
Investment operations:
Net investment income(a)	.14		.33		.31		.33		.35		.32
Net realized and unrealized gain (loss)	.17		.65		1.67		.88		(.23	)	.48
Total from investment operations	.31		.98		1.98		1.21		.12		.80
Distributions to shareholders from:
Net investment income	(.41	)	(.55	)	(.36	)	(.34	)	(.37	)	(.34	)
Net realized gain	(.49	)	–		–		–		–		–
Total distributions	(.90	)	(.55	)	(.36	)	(.34	)	(.37	)	(.34	)
Net asset value, end of period	$12.25		$12.84		$12.41		$10.79		$9.92		$10.17
Total Return(b)	2.55	%(c)	8.09	%	18.68	%	12.39	%	1.01	%	8.39	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.29	%(c)	.59	%	.56	%	.54	%	.49	%	.50	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.29	%(c)	.59	%	.56	%	.54	%	.49	%	.50	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.36	%(c)	.74	%	.75	%	.75	%	.75	%	.76	%
Net investment income	1.14	%(c)	2.60	%	2.67	%	3.18	%	3.32	%	3.27	%
Supplemental Data:
Net assets, end of period (000)	$39,744		$36,157		$33,919		$24,940		$19,595		$14,172
Portfolio turnover rate	11.48	%(c)	44.87	%	29.96	%	55.52	%	27.86	%	11.29	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

42 See Notes to Financial Statements.

Financial Highlights

MULTI-ASSET GROWTH FUND

	Class A Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.46		$19.02		$16.18		$14.80		$15.00		$13.87
Investment operations:
Net investment income(a)	.20		.53		.50		.48		.35		.34
Net realized and unrealized gain (loss)	.37		1.27		2.89		1.36		(.18	)	1.08
Total from investment operations	.57		1.80		3.39		1.84		.17		1.42
Distributions to shareholders from:
Net investment income	(.63	)	(.81	)	(.55	)	(.46	)	(.37	)	(.29	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.85	)	(1.36	)	(.55	)	(.46	)	(.37	)	(.29	)
Net asset value, end of period	$18.18		$19.46		$19.02		$16.18		$14.80		$15.00
Total Return(b)	3.26	%(c)	9.98	%	21.42	%	12.63	%	1.07	%	10.42	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.17	%(c)	.34	%	.31	%	.30	%	.28	%	.35	%
Expenses, including expense reductions, expenses assumed and management fee waived	.17	%(c)	.34	%	.31	%	.30	%	.28	%	.35	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.25	%(c)	.52	%	.53	%	.54	%	.58	%	.66	%
Net investment income	1.09	%(c)	2.79	%	2.80	%	3.07	%	2.28	%	2.37	%
Supplemental Data:
Net assets, end of period (000)	$893,066		$834,090		$748,409		$586,960		$491,865		$423,573
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 43

Financial Highlights (continued)

MULTI-ASSET GROWTH FUND

	Class B Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.33		$18.90		$16.07		$14.70		$14.90		$13.78
Investment operations:
Net investment income(a)	.13		.38		.36		.36		.25		.25
Net realized and unrealized gain (loss)	.36		1.26		2.89		1.35		(.19	)	1.08
Total from investment operations	.49		1.64		3.25		1.71		.06		1.33
Distributions to shareholders from:
Net investment income	(.56	)	(.66	)	(.42	)	(.34	)	(.26	)	(.21	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.78	)	(1.21	)	(.42	)	(.34	)	(.26	)	(.21	)
Net asset value, end of period	$18.04		$19.33		$18.90		$16.07		$14.70		$14.90
Total Return(b)	2.82	%(c)	9.13	%	20.57	%	11.79	%	.35	%	9.73	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.55	%(c)	1.09	%	1.06	%	1.04	%	1.00	%	1.00	%
Expenses, including expense reductions, expenses assumed and management fee waived	.55	%(c)	1.09	%	1.06	%	1.04	%	1.00	%	1.00	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.62	%(c)	1.27	%	1.28	%	1.29	%	1.29	%	1.31	%
Net investment income	.73	%(c)	2.01	%	2.05	%	2.36	%	1.59	%	1.73	%
Supplemental Data:
Net assets, end of period (000)	$18,757		$21,736		$27,110		$27,278		$29,160		$33,841
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

44 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET GROWTH FUND

	Class C Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.30		$18.89		$16.06		$14.70		$14.90		$13.78
Investment operations:
Net investment income(a)	.13		.39		.37		.36		.25		.25
Net realized and unrealized gain (loss)	.37		1.24		2.89		1.35		(.18	)	1.08
Total from investment operations	.50		1.63		3.26		1.71		.07		1.33
Distributions to shareholders from:
Net investment income	(.57	)	(.67	)	(.43	)	(.35	)	(.27	)	(.21	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.79	)	(1.22	)	(.43	)	(.35	)	(.27	)	(.21	)
Net asset value, end of period	$18.01		$19.30		$18.89		$16.06		$14.70		$14.90
Total Return(b)	2.87	%(c)	9.11	%	20.66	%	11.77	%	.41	%	9.63	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.54	%(c)	1.08	%	1.05	%	1.03	%	.97	%	1.00	%
Expenses, including expense reductions, expenses assumed and management fee waived	.54	%(c)	1.08	%	1.05	%	1.03	%	.97	%	1.00	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.62	%(c)	1.25	%	1.26	%	1.27	%	1.26	%	1.31	%
Net investment income	.72	%(c)	2.07	%	2.09	%	2.36	%	1.59	%	1.74	%
Supplemental Data:
Net assets, end of period (000)	$250,670		$211,947		$161,591		$111,296		$100,379		$90,833
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 45

Financial Highlights (continued)

MULTI-ASSET GROWTH FUND

	Class F Shares
	Six Months
	Ended
	5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.45		$19.02		$16.17		$14.79		$14.99		$13.86
Investment operations:
Net investment income(a)	.21		.56		.54		.50		.38		.37
Net realized and unrealized gain (loss)	.37		1.26		2.89		1.36		(.18	)	1.09
Total from investment operations	.58		1.82		3.43		1.86		.20		1.46
Distributions to shareholders from:
Net investment income	(.64	)	(.84	)	(.58	)	(.48	)	(.40	)	(.33	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.86	)	(1.39	)	(.58	)	(.48	)	(.40	)	(.33	)
Net asset value, end of period	$18.17		$19.45		$19.02		$16.17		$14.79		$14.99
Total Return(b)	3.33	%(c)	10.11	%	21.68	%	12.79	%	1.26	%	10.69	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.10	%(c)	.19	%	.16	%	.15	%	.10	%	.10	%
Expenses, including expense reductions, expenses assumed and management fee waived	.10	%(c)	.19	%	.16	%	.15	%	.10	%	.10	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.17	%(c)	.37	%	.38	%	.39	%	.40	%	.41	%
Net investment income	1.15	%(c)	2.95	%	3.03	%	3.20	%	2.43	%	2.54	%
Supplemental Data:
Net assets, end of period (000)	$70,842		$54,699		$16,769		$4,883		$4,150		$2,595
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

46 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET GROWTH FUND

	Class I Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.54		$19.10		$16.24		$14.85		$15.05		$13.91
Investment operations:
Net investment income(a)	.22		.58		.54		.50		.39		.39
Net realized and unrealized gain (loss)	.37		1.26		2.92		1.39		(.17	)	1.09
Total from investment operations	.59		1.84		3.46		1.89		.22		1.48
Distributions to shareholders from:
Net investment income	(.65	)	(.85	)	(.60	)	(.50	)	(.42	)	(.34	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.87	)	(1.40	)	(.60	)	(.50	)	(.42	)	(.34	)
Net asset value, end of period	$18.26		$19.54		$19.10		$16.24		$14.85		$15.05
Total Return(b)	3.36	%(c)	10.21	%	21.76	%	12.92	%	1.35	%	10.83	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.05	%(c)	.09	%	.06	%	.05	%	.00	%	.00	%
Expenses, including expense reductions, expenses assumed and management fee waived	.05	%(c)	.09	%	.06	%	.05	%	.00	%	.00	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.12	%(c)	.27	%	.28	%	.30	%	.30	%	.31	%
Net investment income	1.21	%(c)	3.08	%	3.04	%	3.17	%	2.49	%	2.72	%
Supplemental Data:
Net assets, end of period (000)	$15,363		$13,991		$10,957		$8,653		$1,364		$617
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 47

Financial Highlights (continued)

MULTI-ASSET GROWTH FUND

	Class P Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.65		$19.10		$16.25		$14.86		$15.06		$13.90
Investment operations:
Net investment income(a)	.19		.49		.47		.46		.32		.36
Net realized and unrealized gain (loss)	.37		1.30		2.91		1.36		(.17	)	1.08
Total from investment operations	.56		1.79		3.38		1.82		.15		1.44
Distributions to shareholders from:
Net investment income	(.62	)	(.69	)	(.53	)	(.43	)	(.35	)	(.28	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.84	)	(1.24	)	(.53	)	(.43	)	(.35	)	(.28	)
Net asset value, end of period	$18.37		$19.65		$19.10		$16.25		$14.86		$15.06
Total Return(b)	3.16	%(c)	9.84	%	21.25	%	12.42	%	.91	%	10.47	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.25	%(c)	.47	%	.51	%	.46	%	.40	%	.34	%
Expenses, including expense reductions, expenses assumed and management fee waived	.25	%(c)	.47	%	.51	%	.46	%	.40	%	.34	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.35	%(c)	.66	%	.71	%	.72	%	.70	%	.63	%
Net investment income	1.05	%(c)	2.58	%	2.60	%	2.91	%	2.04	%	2.50	%
Supplemental Data:
Net assets, end of period (000)	$2		$2		$4		$6		$5		$1
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

48 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET GROWTH FUND

	Class R2 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.74		$19.27		$16.39		$14.98		$15.18		$14.03
Investment operations:
Net investment income(a)	.17		.46		.43		.43		.30		.30
Net realized and unrealized gain (loss)	.36		1.30		2.95		1.38		(.17	)	1.11
Total from investment operations	.53		1.76		3.38		1.81		.13		1.41
Distributions to shareholders from:
Net investment income	(.59	)	(.74	)	(.50	)	(.40	)	(.33	)	(.26	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.81	)	(1.29	)	(.50	)	(.40	)	(.33	)	(.26	)
Net asset value, end of period	$18.46		$19.74		$19.27		$16.39		$14.98		$15.18
Total Return(b)	3.01	%(c)	9.63	%	20.99	%	12.26	%	.77	%	10.17	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.35	%(c)	.69	%	.66	%	.65	%	.60	%	.58	%
Expenses, including expense reductions, expenses assumed and management fee waived	.35	%(c)	.69	%	.66	%	.65	%	.60	%	.58	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.42	%(c)	.87	%	.88	%	.89	%	.90	%	.89	%
Net investment income	.94	%(c)	2.43	%	2.39	%	2.70	%	1.92	%	2.08	%
Supplemental Data:
Net assets, end of period (000)	$244		$288		$149		$195		$156		$110
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 49

Financial Highlights (concluded)

MULTI-ASSET GROWTH FUND

	Class R3 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$19.41		$18.98		$16.14		$14.77		$14.97		$13.84
Investment operations:
Net investment income(a)	.17		.48		.45		.44		.32		.28
Net realized and unrealized gain (loss)	.37		1.26		2.90		1.35		(.18	)	1.13
Total from investment operations	.54		1.74		3.35		1.79		.14		1.41
Distributions to shareholders from:
Net investment income	(.61	)	(.76	)	(.51	)	(.42	)	(.34	)	(.28	)
Net realized gain	(1.22	)	(.55	)	–		–		–		–
Total distributions	(1.83	)	(1.31	)	(.51	)	(.42	)	(.34	)	(.28	)
Net asset value, end of period	$18.12		$19.41		$18.98		$16.14		$14.77		$14.97
Total Return(b)	3.09	%(c)	9.70	%	21.20	%	12.32	%	.88	%	10.31	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed and management fee waived	.29	%(c)	.58	%	.55	%	.54	%	.50	%	.50	%
Expenses, including expense reductions, expenses assumed and management fee waived	.29	%(c)	.58	%	.55	%	.54	%	.50	%	.50	%
Expenses, excluding expense reductions, expenses assumed and management fee waived	.37	%(c)	.76	%	.76	%	.79	%	.79	%	.81	%
Net investment income	.97	%(c)	2.56	%	2.56	%	2.85	%	2.06	%	1.97	%
Supplemental Data:
Net assets, end of period (000)	$27,486		$23,344		$18,989		$13,470		$11,969		$9,240
Portfolio turnover rate	10.76	%(c)	38.40	%	36.72	%	45.58	%	25.26	%	7.69	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

50 See Notes to Financial Statements.

Financial Highlights

MULTI-ASSET INCOME FUND

	Class A Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$15.78		$15.99		$14.95		$14.01		$14.40		$13.57
Investment operations:
Net investment income(a)	.28		.56		.58		.62		.77		.79
Net realized and unrealized gain (loss)	.05		.31		1.15		1.01		(.36	)	.83
Total from investment operations	.33		.87		1.73		1.63		.41		1.62
Distributions to shareholders from:
Net investment income	(.48	)	(.74	)	(.64	)	(.62	)	(.80	)	(.79	)
Net realized gain	(.36	)	(.34	)	(.05	)	(.07	)	–		–
Total distributions	(.84	)	(1.08	)	(.69	)	(.69	)	(.80	)	(.79	)
Net asset value, end of period	$15.27		$15.78		$15.99		$14.95		$14.01		$14.40
Total Return(b)	2.20	%(c)	5.62	%	11.77	%	11.98	%	2.74	%	12.25	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.17	%(c)	.34	%	.31	%	.30	%	.28	%	.35	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.17	%(c)	.34	%	.31	%	.30	%	.28	%	.35	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.23	%(c)	.47	%	.49	%	.50	%	.54	%	.66	%
Net investment income	1.83	%(c)	3.55	%	3.72	%	4.28	%	5.25	%	5.60	%
Supplemental Data:
Net assets, end of period (000)	$1,112,524		$1,108,030		$614,499		$361,594		$257,747		$183,275
Portfolio turnover rate	14.77	%(c)	42.95	%	26.82	%	26.59	%	46.47	%	6.88	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 51

Financial Highlights (continued)

MULTI-ASSET INCOME FUND

	Class B Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$15.98		$16.17		$15.11		$14.15		$14.54		$13.70
Investment operations:
Net investment income(a)	.23		.45		.47		.53		.67		.71
Net realized and unrealized gain (loss)	.04		.31		1.16		1.01		(.37	)	.83
Total from investment operations	.27		.76		1.63		1.54		.30		1.54
Distributions to shareholders from:
Net investment income	(.42	)	(.61	)	(.52	)	(.51	)	(.69	)	(.70	)
Net realized gain	(.36	)	(.34	)	(.05	)	(.07	)	–		–
Total distributions	(.78	)	(.95	)	(.57	)	(.58	)	(.69	)	(.70	)
Net asset value, end of period	$15.47		$15.98		$16.17		$15.11		$14.15		$14.54
Total Return(b)	1.79	%(c)	4.88	%	10.94	%	11.16	%	1.97	%	11.54	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.55	%(c)	1.09	%	1.06	%	1.05	%	1.00	%	1.00	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.55	%(c)	1.09	%	1.06	%	1.05	%	1.00	%	1.00	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.60	%(c)	1.22	%	1.24	%	1.25	%	1.26	%	1.31	%
Net investment income	1.46	%(c)	2.83	%	3.00	%	3.58	%	4.55	%	4.99	%
Supplemental Data:
Net assets, end of period (000)	$5,820		$6,934		$8,181		$8,345		$9,081		$10,162
Portfolio turnover rate	14.77	%(c)	42.95	%	26.82	%	26.59	%	46.47	%	6.88	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

52 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET INCOME FUND

	Class C Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$15.97		$16.17		$15.12		$14.17		$14.55		$13.71
Investment operations:
Net investment income(a)	.22		.45		.47		.52		.67		.70
Net realized and unrealized gain (loss)	.06		.31		1.16		1.02		(.35	)	.84
Total from investment operations	.28		.76		1.63		1.54		.32		1.54
Distributions to shareholders from:
Net investment income	(.42	)	(.62	)	(.53	)	(.52	)	(.70	)	(.70	)
Net realized gain	(.36	)	(.34	)	(.05	)	(.07	)	–		–
Total distributions	(.78	)	(.96	)	(.58	)	(.59	)	(.70	)	(.70	)
Net asset value, end of period	$15.47		$15.97		$16.17		$15.12		$14.17		$14.55
Total Return(b)	1.87	%(c)	4.86	%	10.91	%	11.11	%	2.08	%	11.53	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.55	%(c)	1.09	%	1.06	%	1.04	%	.99	%	1.00	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.55	%(c)	1.09	%	1.06	%	1.04	%	.99	%	1.00	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.60	%(c)	1.22	%	1.23	%	1.25	%	1.25	%	1.31	%
Net investment income	1.45	%(c)	2.80	%	2.96	%	3.52	%	4.53	%	4.93	%
Supplemental Data:
Net assets, end of period (000)	$827,469		$758,668		$397,035		$186,976		$113,984		$60,542
Portfolio turnover rate	14.77	%(c)	42.95	%	26.82	%	26.59	%	46.47	%	6.88	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 53

Financial Highlights (continued)

MULTI-ASSET INCOME FUND

	Class F Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$15.78		$15.98		$14.95		$14.01		$14.40		$13.56
Investment operations:
Net investment income(a)	.29		.58		.60		.64		.80		.81
Net realized and unrealized gain (loss)	.05		.32		1.15		1.01		(.36	)	.85
Total from investment operations	.34		.90		1.75		1.65		.44		1.66
Distributions to shareholders from:
Net investment income	(.49	)	(.76	)	(.67	)	(.64	)	(.83	)	(.82	)
Net realized gain	(.36	)	(.34	)	(.05	)	(.07	)	–		–
Total distributions	(.85	)	(1.10	)	(.72	)	(.71	)	(.83	)	(.82	)
Net asset value, end of period	$15.27		$15.78		$15.98		$14.95		$14.01		$14.40
Total Return(b)	2.28	%(c)	5.83	%	11.94	%	12.07	%	2.92	%	12.61	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.10	%(c)	.19	%	.17	%	.15	%	.10	%	.10	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.10	%(c)	.19	%	.17	%	.15	%	.10	%	.10	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.15	%(c)	.32	%	.34	%	.35	%	.36	%	.41	%
Net investment income	1.90	%(c)	3.68	%	3.85	%	4.37	%	5.44	%	5.70	%
Supplemental Data:
Net assets, end of period (000)	$571,625		$616,791		$264,414		$72,875		$32,387		$13,237
Portfolio turnover rate	14.77	%(c)	42.95	%	26.82	%	26.59	%	46.47	%	6.88	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

54 See Notes to Financial Statements.

Financial Highlights (continued)

MULTI-ASSET INCOME FUND

	Class I Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$15.71		$15.92		$14.89		$13.96		$14.35		$13.52
Investment operations:
Net investment income(a)	.29		.59		.60		.66		.80		.84
Net realized and unrealized gain (loss)	.06		.31		1.16		1.00		(.35	)	.83
Total from investment operations	.35		.90		1.76		1.66		.45		1.67
Distributions to shareholders from:
Net investment income	(.50	)	(.77	)	(.68	)	(.66	)	(.84	)	(.84	)
Net realized gain	(.36	)	(.34	)	(.05	)	(.07	)	–		–
Total distributions	(.86	)	(1.11	)	(.73	)	(.73	)	(.84	)	(.84	)
Net asset value, end of period	$15.20		$15.71		$15.92		$14.89		$13.96		$14.35
Total Return(b)	2.34	%(c)	5.90	%	12.10	%	12.15	%	3.03	%	12.66	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.05	%(c)	.09	%	.07	%	.05	%	.00	%	.00	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.05	%(c)	.09	%	.07	%	.05	%	.00	%	.00	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.10	%(c)	.23	%	.24	%	.25	%	.26	%	.31	%
Net investment income	1.95	%(c)	3.75	%	3.87	%	4.53	%	5.50	%	6.01	%
Supplemental Data:
Net assets, end of period (000)	$21,902		$21,656		$4,531		$1,655		$426		$197
Portfolio turnover rate	14.77	%(c)	42.95	%	26.82	%	26.59	%	46.47	%	6.88	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 55

Financial Highlights (continued)

MULTI-ASSET INCOME FUND

	Class R2 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$16.12		$16.31		$15.24		$14.28		$14.66		$13.74
Investment operations:
Net investment income(a)	.26		.52		.54		.57		.74		.83
Net realized and unrealized gain (loss)	.05		.31		1.17		1.03		(.36	)	.85
Total from investment operations	.31		.83		1.71		1.60		.38		1.68
Distributions to shareholders from:
Net investment income	(.45	)	(.68	)	(.59	)	(.57	)	(.76	)	(.76	)
Net realized gain	(.36	)	(.34	)	(.05	)	(.07	)	–		–
Total distributions	(.81	)	(1.02	)	(.64	)	(.64	)	(.76	)	(.76	)
Net asset value, end of period	$15.62		$16.12		$16.31		$15.24		$14.28		$14.66
Total Return(b)	2.04	%(c)	5.26	%	11.35	%	11.54	%	2.48	%	12.51	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.35	%(c)	.69	%	.66	%	.64	%	.59	%	.11	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.35	%(c)	.69	%	.66	%	.64	%	.59	%	.11	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.40	%(c)	.82	%	.84	%	.85	%	.87	%	.42	%
Net investment income	1.66	%(c)	3.21	%	3.40	%	3.80	%	5.02	%	5.83	%
Supplemental Data:
Net assets, end of period (000)	$683		$755		$969		$719		$190		$16
Portfolio turnover rate	14.77	%(c)	42.95	%	26.82	%	26.59	%	46.47	%	6.88	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

56 See Notes to Financial Statements.

Financial Highlights (concluded)

MULTI-ASSET INCOME FUND

	Class R3 Shares
	Six Months Ended 5/31/2015		Year Ended 11/30
	(unaudited)		2014		2013		2012		2011		2010
Per Share Operating Performance
Net asset value, beginning of period	$15.79		$15.99		$14.96		$14.02		$14.41		$13.57
Investment operations:
Net investment income(a)	.26		.52		.54		.59		.74		.75
Net realized and unrealized gain (loss)	.05		.32		1.14		1.01		(.36	)	.86
Total from investment operations	.31		.84		1.68		1.60		.38		1.61
Distributions to shareholders from:
Net investment income	(.46	)	(.70	)	(.60	)	(.59	)	(.77	)	(.77	)
Net realized gain	(.36	)	(.34	)	(.05	)	(.07	)	–		–
Total distributions	(.82	)	(1.04	)	(.65	)	(.66	)	(.77	)	(.77	)
Net asset value, end of period	$15.28		$15.79		$15.99		$14.96		$14.02		$14.41
Total Return(b)	2.09	%(c)	5.43	%	11.50	%	11.63	%	2.53	%	12.16	%
Ratios to Average Net Assets:*
Expenses, excluding expense reductions and including expenses assumed, management fee waived and expenses reimbursed	.30	%(c)	.59	%	.56	%	.54	%	.49	%	.50	%
Expenses, including expense reductions, expenses assumed, management fee waived and expenses reimbursed	.30	%(c)	.59	%	.56	%	.54	%	.49	%	.50	%
Expenses, excluding expense reductions, expenses assumed, management fee waived and expenses reimbursed	.35	%(c)	.72	%	.73	%	.75	%	.76	%	.80	%
Net investment income	1.70	%(c)	3.31	%	3.47	%	4.02	%	5.04	%	5.29	%
Supplemental Data:
Net assets, end of period (000)	$14,728		$12,578		$8,825		$6,092		$4,348		$2,394
Portfolio turnover rate	14.77	%(c)	42.95	%	26.82	%	26.59	%	46.47	%	6.88	%

*	Does not include expenses of the Underlying Funds in which the Fund invests.
(a)	Calculated using average shares outstanding during the period.
(b)	Total return assumes the reinvestment of all distributions.
(c)	Not annualized.

See Notes to Financial Statements. 57

Notes to Financial Statements (unaudited)

1. ORGANIZATION  

Lord Abbett Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on August 16, 1993. The Trust consists of twelve funds. This report covers the following four funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes during the six months ended May 31, 2015: Lord Abbett Diversified Equity Strategy Fund (“Diversified Equity Strategy Fund”), Lord Abbett Multi-Asset Balanced Opportunity Fund (“Multi-Asset Balanced Opportunity Fund”), Lord Abbett Multi-Asset Growth Fund (“Multi-Asset Growth Fund”) and Lord Abbett Multi-Asset Income Fund (“Multi-Asset Income Fund”), Class A, B, C, F, I, P, R2 and R3 shares. Diversified Equity Strategy Fund and Multi-Asset Income Fund do not have active Class P shares. The Funds’ Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Funds’ prospectus. The Funds no longer issue Class B shares for purchase. Effective June 30, 2015, each of the Funds issued and commenced operations of three share classes: Class R4, Class R5 and Class R6.

Diversified Equity Strategy Fund’s investment objective is to seek capital appreciation. Multi-Asset Balanced Opportunity Fund’s investment objective is to seek current income and capital growth. Multi-Asset Growth Fund’s investment objective is to seek long-term capital appreciation and growth of income. Multi-Asset Income Fund’s investment objective is to seek a high level of current income. The Funds invest principally in other mutual funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”).

Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

2. SIGNIFICANT ACCOUNTING POLICIES  

(a) Investment Valuation–Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time. Exchange traded futures contracts are valued at the last sales price in the market in which they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and ask prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. Short-term securities

58

Notes to Financial Statements (unaudited)(continued)

	with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.
(b)	Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
(c)	Investment Income–Dividend income and capital gain distributions are recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
(d)	Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
	Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2011 through November 30, 2014. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
(e)	Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan.
(f)	Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain on futures contracts, swaps and foreign currency related transactions on each Fund’s Statement of Operations.
(g)	Futures Contracts–Each Fund may purchase and sell index futures contracts to manage cash, to adjust exposure to the direction of interest rates or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by the Fund called “variation margin” are made on a daily basis as the market price of the futures contract

59

Notes to Financial Statements (unaudited)(continued)

	fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain is recorded equal to the difference between the opening and closing value of the contract.
(h)	Credit Default Swaps–Each Fund may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty a periodic stream of payments over the term of the contract.
	As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred.
	These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, all funds except Diversified Equity Strategy Fund entered into centrally cleared credit default swaps based on the CDX high yield index.
	Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund.
	Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.

60

Notes to Financial Statements (unaudited)(continued)

	Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. There was minimal counterparty credit risk to the Fund during the six months ended May 31, 2015, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default.
(i)	Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities.
(j)	Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

•	Level 1 –	unadjusted quoted prices in active markets for identical investments;
•	Level 2 –	other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and
•	Level 3 –	significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

A summary of inputs used in valuing each Fund’s investments and other financial instruments as of May 31, 2015 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

61

Notes to Financial Statements (unaudited)(continued)

3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

Management Fee

The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.

The management fee is based on each Fund’s average daily net assets at an annual rate of .10%.⁽¹⁾

For the six months ended May 31, 2015, the effective management fee, net of waivers, was based on each Fund’s average daily net assets at the following annualized rates:

Net Effective Management Fee
Diversified Equity Strategy Fund	.00%
Multi-Asset Balanced Opportunity Fund	.10%
Multi-Asset Growth Fund	.10%
Multi-Asset Income Fund	.10%

(1) During the six months ended May 31, 2015 and continuing through March 31, 2016, Lord Abbett has contractually agreed to waive .05% of its annual management fee for Diversified Equity Strategy Fund. This agreement may be terminated only upon the approval of the Funds’ Board of Trustees (the “Board”). During the six months ended May 31, 2015, Lord Abbett voluntarily waived an additional .05% of its annual management fee for Diversified Equity Strategy Fund.

The Funds have each entered into a Servicing Arrangement with the Underlying Funds in which they each invest, pursuant to which each Underlying Fund will pay a portion of the expenses (excluding management fees and distribution and service fees) of the Funds in proportion to the average daily value of total Underlying Fund shares owned by each of the Funds. The expenses assumed by the Underlying Funds are reflected in Expenses assumed by Underlying Funds on each Fund’s Statement of Operations and Receivables from affiliates on each Fund’s Statement of Assets and Liabilities.

12b-1 Distribution Plan

Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:

Fees*	Class A	Class B	Class C	Class F	Class P	Class R2	Class R3
Service	.25%	.25%	.25%	–	.25%	.25%	.25%
Distribution	–	.75%	.75%	.10%	.20%	.35%	.25%

* The Funds may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations.

Class I shares do not have a distribution plan.

62

Notes to Financial Statements (unaudited)(continued)

Commissions

Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended May 31, 2015:

	Distributor Commissions		Dealers’ Concessions
Diversified Equity Strategy Fund		$  50,393		$   273,584
Multi-Asset Balanced Opportunity Fund		234,821		1,548,815
Multi-Asset Growth Fund		131,284		895,709
Multi-Asset Income Fund		164,196		1,090,716

Distributor received the following amount of CDSCs for the six months ended May 31, 2015:

	Class A		Class C
Diversified Equity Strategy Fund	$	643	$	2,210
Multi-Asset Balanced Opportunity Fund		27,328		41,380
Multi-Asset Growth Fund		12,151		19,300
Multi-Asset Income Fund		44,434		100,021

A Trustee and certain of the Trust’s officers have an interest in Lord Abbett.

4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS  

Dividends from net investment income, if any, are declared and paid monthly for Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund; declared and paid quarterly for Multi-Asset Growth Fund; and declared and paid annually for Diversified Equity Strategy Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.

63

Notes to Financial Statements (unaudited)(continued)

The tax character of distributions paid during the six months ended May 31, 2015 and fiscal year ended November 30, 2014 was as follows:

	Diversified Equity Strategy Fund				Multi-Asset Balanced Opportunity Fund
	Six Months Ended				Six Months Ended
	5/31/2015		Year Ended		5/31/2015		Year Ended
	(unaudited)		11/30/2014		(unaudited)		11/30/2014
Distributions paid from:
Tax-exempt income	$	–	$	–	$	–	$	270,425
Ordinary income		5,203,646		7,477,085		68,927,149		83,945,247
Net long-term capital gains		30,379,459		17,062,426		78,996,525		–
Total distributions paid	$	35,583,105	$	24,539,511	$	147,923,674	$	84,215,672
	Multi-Asset Growth Fund				Multi-Asset Income Fund
	Six Months Ended				Six Months Ended
	5/31/2015		Year Ended		5/31/2015		Year Ended
	(unaudited)		11/30/2014		(unaudited)		11/30/2014
Distributions paid from:
Tax-exempt income	$	–	$	257,842	$	–	$	259,511
Ordinary income		38,438,479		41,912,470		79,623,654		81,608,750
Net long-term capital gains		73,179,790		28,322,745		51,623,879		27,639,886
Total distributions paid	$	111,618,269	$	70,493,057	$	131,247,533	$	109,508,147

As of May 31, 2015, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:

				Multi-Asset
	Diversified Equity			Balanced
	Strategy Fund			Opportunity Fund
Tax cost	$	244,209,154		$	2,135,178,837
Gross unrealized gain		43,278,260			143,098,981
Gross unrealized loss		–			(30,704,409	)
Net unrealized security gain	$	43,278,260		$	112,394,572
	Multi-Asset			Multi-Asset
	Growth Fund			Income Fund
Tax cost	$	1,192,650,459		$	2,615,224,579
Gross unrealized gain		92,904,486			18,294,643
Gross unrealized loss		(12,373,915	)		(85,972,443	)
Net unrealized security gain (loss)	$	80,530,571		$	(67,677,800	)

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain distributions received and wash sales.

5. PORTFOLIO SECURITIES TRANSACTIONS  

Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2015 were as follows:

	Purchases		Sales
Diversified Equity Strategy Fund	$	15,311,277	$	8,982,653
Multi-Asset Balanced Opportunity Fund		433,549,687		245,632,296
Multi-Asset Growth Fund		240,663,910		129,429,476
Multi-Asset Income Fund		449,608,737		369,691,081

There were no purchases or sales of U.S. Government securities for the six months ended May 31, 2015.

64

Notes to Financial Statements (unaudited)(continued)

6. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2015 (as described in note 2(f)). A forward foreign currency exchange contract reduces each Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.

Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund entered into E-Mini S&P 500 Index and U.S. Treasury futures contracts for the six months ended May 31, 2015 (as described in note 2(g)) to manage cash and hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.

Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund entered into centrally cleared credit default swaps on indexes for the six months ended May 31, 2015 (as described in note 2(h)) to hedge credit risk. Centrally cleared credit default swaps on indexes involve the exchange of a fixed rate premium for protection against the loss in value of underlying securities within an index in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. There is minimal counterparty credit risk to the Fund since these credit default swaps are traded through a central clearinghouse. As a counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.

As of May 31, 2015, Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds use of derivative instruments:

65

Notes to Financial Statements (unaudited)(continued)

	Multi-Asset Balanced Opportunity Fund						Multi-Asset Growth Fund
	Equity				Foreign				Foreign
	Index		Credit		Currency		Credit		Currency
Asset Derivatives	Contracts		Contracts		Contracts		Contracts		Contracts
Forward Foreign Currency Exchange Contracts(1)	$	–	$	–	$	1,789,345	$	–	$	1,306,894
Liability Derivatives
Centrally Cleared Credit Default Swaps(2)	$	–	$	1,062	$	–	$	850	$	–
Forward Foreign Currency Exchange Contracts(3)	$	–	$	–	$	202,029	$	–	$	695,027
Futures Contracts(4)	$	29,844	$	–	$	–	$	–	$	–

	Multi-Asset Income Fund
	Equity				Foreign
	Index		Credit		Currency
Asset Derivatives	Contracts		Contracts		Contracts
Forward Foreign Currency Exchange Contracts(1)	$	–	$	–	$	2,021,825
Liability Derivatives
Centrally Cleared Credit Default Swaps(2)	$	–	$	1,204	$	–
Forward Foreign Currency Exchange Contracts(3)	$	–	$	–	$	235,892
Futures Contracts(4)	$	147,228	$	–	$	–

(1)	Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.
(2)	Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of centrally cleared credit default swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
(3)	Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.
(4)	Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

66

Notes to Financial Statements (unaudited)(continued)

Transactions in derivative instruments for the six months ended May 31, 2015, were as follows:

				Multi-Asset Balanced Opportunity Fund
	Equity			Interest						Foreign
	Index			Rate			Credit			Currency
	Contracts			Contracts			Contracts			Contracts
Net Realized Gain (Loss)(1)
Credit Default Swaps	$	–		$	–		$	(37,059	)	$	–
Forward Foreign Currency Exchange Contracts	$	–		$	–		$	–		$	5,619,952
Futures Contracts	$	(80,943	)	$	(44,503	)	$	–		$	–
Net Change in Unrealized Appreciation/Depreciation(2)
Credit Default Swaps	$	–		$	–		$	(66,612	)	$	–
Forward Foreign Currency Exchange Contracts	$	–		$	–		$	–		$	1,533,410
Futures Contracts	$	40,880		$	33,517		$	–		$	–
Average Number of Contracts/Notional Amounts*
Credit Default Swaps(3)	$	–		$	–		$	2,142,857		$	–
Forward Foreign Currency Exchange Contracts(3)	$	–		$	–		$	–		$	94,510,394
Futures Contracts(4)		15			12			–			–

							Multi-Asset Growth Fund
	Equity			Interest						Foreign
	Index			Rate			Credit			Currency
	Contracts			Contracts			Contracts			Contracts
Net Realized Gain (Loss)(1)
Credit Default Swaps	$	–		$	–		$	(29,647	)	$	–
Forward Foreign Currency Exchange Contracts	$	–		$	–		$	–		$	5,118,727
Futures Contracts	$	84,605		$	(23,841	)	$	–		$	–
Net Change in Unrealized Appreciation/Depreciation(2)
Credit Default Swaps	$	–		$	–		$	(53,290	)	$	–
Forward Foreign Currency Exchange Contracts	$	–		$	–		$	–		$	570,489
Futures Contracts	$	(55,751	)	$	17,955		$	–		$	–
Average Number of Contracts/Notional Amounts*
Credit Default Swaps(3)	$	–		$	–		$	1,714,286		$	–
Forward Foreign Currency Exchange Contracts(3)	$	–		$	–		$	–		$	86,997,471
Futures Contracts(4)		9			6			–			–

67

Notes to Financial Statements (unaudited)(continued)

							Multi-Asset Income Fund
	Equity			Interest						Foreign
	Index			Rate			Credit			Currency
	Contracts			Contracts			Contracts			Contracts
Net Realized Gain (Loss)(1)
Credit Default Swaps	$	–		$	–		$	(42,001	)	$	–
Forward Foreign Currency Exchange Contracts	$	–		$	–		$	–		$	6,146,871
Futures Contracts	$	(399,321	)	$	(39,735	)	$	–		$	–
Net Change in Unrealized Appreciation/Depreciation(2)
Credit Default Swaps	$	–		$	–		$	(75,494	)	$	–
Forward Foreign Currency Exchange Contracts	$	–		$	–		$	–		$	1,726,154
Futures Contracts	$	201,678		$	29,925		$	–		$	–
Average Number of Contracts/Notional Amounts*
Credit Default Swaps(3)	$	–		$	–		$	2,428,571		$	–
Forward Foreign Currency Exchange Contracts(3)	$	–		$	–		$	–		$	106,236,826
Futures Contracts(4)		74			11			–			–

*	Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2015.
(1)	Statements of Operations location: Net realized gain on futures contracts, swaps and foreign currency related transactions.
(2)	Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies.
(3)	Amount represents notional amounts in U.S. dollars.
(4)	Amount represents number of contracts.

7. DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES  

The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011–11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011–11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013–01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013–01”), specifying which transactions are subject to disclosures about offsetting.

The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statements of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:

68

Notes to Financial Statements (unaudited)(continued)

			Diversified Equity Strategy Fund
			Gross Amounts		Net Amounts of
			Offset in the		Assets Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Assets		and Liabilities		Assets and Liabilities
Repurchase Agreement		$242,588	$	–		$242,588
Total		$242,588	$	–		$242,588

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement				Cash		Securities
	of Assets and		Financial		Collateral		Collateral			Net
Counterparty	Liabilities		Instruments		Received(a)		Received(a)			Amount(b)
State Street Bank and Trust Co.		$242,588	$	–	$	–		$(242,588	)	$	–
Total		$242,588	$	–	$	–		$(242,588	)	$	–

			Multi-Asset Balanced Opportunity Fund
			Gross Amounts		Net Amounts of
			Offset in the		Assets Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Assets		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts		$1,789,345	$	–		$1,789,345
Repurchase Agreement		1,826,782		–		1,826,782
Total		$3,616,127	$	–		$3,616,127

	Net Amounts
	of Assets		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral			Net
Counterparty	Liabilities		Instruments			Received(a)			Received(a)			Amount(b)
Bank of America		$1,333,397	$	–		$	(1,290,000	)	$	–			$ 43,397
Citibank N.A.		4,707		(4,707	)		–			–			–
Fixed Income Clearing Corp.		1,826,782		–			–			(1,826,782	)		–
Morgan Stanley		451,241		(72,940	)		(290,000	)		–			88,301
Total		$3,616,127	$	(77,647	)	$	(1,580,000	)	$	(1,826,782	)		$131,698

			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Liabilities		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts		$202,029	$	–		$202,029
Total		$202,029	$	–		$202,029

69

Notes to Financial Statements (unaudited)(continued)

	Net Amounts
	of Liabilities		Amounts Not Offset in the
	Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral		Net
Counterparty	Liabilities		Instruments			Pledged(a)			Pledged(a)		Amount(c)
Citibank N.A.	$	46,451	$	(4,707	)	$	(30,000	)	$	–	$	11,744
Goldman Sachs		82,638		–			(82,638	)		–		–
Morgan Stanley		72,940		(72,940	)		–			–		–
Total	$	202,029	$	(77,647	)	$	(112,638	)	$	–	$	11,744

			Multi-Asset Growth Fund
			Gross Amounts		Net Amounts of
			Offset in the		Assets Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Assets		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	1,306,894	$	–	$	1,306,894
Repurchase Agreement		1,594,919		–		1,594,919
Total	$	2,901,813	$	–	$	2,901,813

	Net Amounts of		Amounts Not Offset in the
	Assets Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral			Net
Counterparty	Liabilities		Instruments			Received(a)			Received(a)			Amount(b)
Bank of America	$	939,488	$	–		$	(860,000	)	$	–		$	79,488
Citibank N.A.		15,955		(15,955	)		–			–			–
Fixed Income Clearing Corp.		1,594,919		–			–			(1,594,919	)		–
Morgan Stanley		351,451		(249,491	)		(50,000	)		–			51,960
Total	$	2,901,813	$	(265,446	)	$	(910,000	)	$	(1,594,919	)	$	131,448

			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Liabilities		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	695,027	$	–	$	695,027
Total	$	695,027	$	–	$	695,027

	Net Amounts of		Amounts Not Offset in the
	Liabilities Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral		Net
Counterparty	Liabilities		Instruments			Pledged(a)			Pledged(a)		Amount(c)
Citibank N.A.	$	159,747	$	(15,955	)	$	(143,792	)	$	–	$	–
Goldman Sachs		285,789		–			(270,000	)		–		15,789
Morgan Stanley		249,491		(249,491	)		–			–		–
Total	$	695,027	$	(265,446	)	$	(413,792	)	$	–	$	15,789

70

Notes to Financial Statements (unaudited)(continued)

			Multi-Asset Income Fund
			Gross Amounts		Net Amounts of
			Offset in the		Assets Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Assets		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	2,021,825	$	–	$	2,021,825
Repurchase Agreement		353,534		–		353,534
Total	$	2,375,359	$	–	$	2,375,359

	Net Amounts of		Amounts Not Offset in the
	Assets Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral			Net
Counterparty	Liabilities		Instruments			Received(a)			Received(a)			Amount(b)
Bank of America	$	1,509,295	$	–		$	(1,460,000	)	$	–		$	49,295
Citibank N.A.		5,464		(5,464	)		–			–			–
Fixed Income Clearing Corp.		353,534		–			–			(353,534	)		–
Morgan Stanley		507,066		(85,099	)		(320,000	)		–			101,967
Total	$	2,375,359	$	(90,563	)	$	(1,780,000	)	$	(353,534	)	$	151,262

			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented
	Gross Amounts of		Statement of Assets		in the Statement of
Description	Recognized Liabilities		and Liabilities		Assets and Liabilities
Forward Foreign Currency Exchange Contracts	$	235,892	$	–	$	235,892
Total	$	235,892	$	–	$	235,892

	Net Amounts of		Amounts Not Offset in the
	Liabilities Presented in		Statement of Assets and Liabilities
	the Statement					Cash			Securities
	of Assets and		Financial			Collateral			Collateral		Net
Counterparty	Liabilities		Instruments			Pledged(a)			Pledged(a)		Amount(c)
Citibank N.A.	$	54,382	$	(5,464	)	$	(30,000	)	$	–	$	18,918
Goldman Sachs		96,411		–			(96,411	)		–		–
Morgan Stanley		85,099		(85,099	)		–			–		–
Total	$	235,892	$	(90,563	)	$	(126,411	)	$	–	$	18,918

(a)	Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty.
(b)	Net amount represents the amount owed to the Fund by each counterparty as of May 31, 2015.
(c)	Net amount represents the amount owed by the Fund to each counterparty as of May 31, 2015.

71

Notes to Financial Statements (unaudited)(continued)

8. TRUSTEES’ REMUNERATION  

The Trust’s officers and a Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

9. EXPENSE REDUCTIONS  

The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.

72

Notes to Financial Statements (unaudited)(continued)

10. TRANSACTIONS WITH AFFILIATED ISSUERS  

An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Diversified Equity Strategy Fund, Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) during the six months ended May 31, 2015:

						Diversified Equity Strategy Fund
Affiliated Issuer	Balance of Shares Held at 11/30/2014	Gross Additions	Gross Sales		Balance of Shares Held at 5/31/2015	Fair Value at 5/31/2015		Net Realized Gain 12/1/2014 to 5/31/2015			Dividend Income 12/1/2014 to 5/31/2015
Lord Abbett Affiliated Fund, Inc.-Class I	3,350,823	153,697	(28,851	)	3,475,669	$	57,487,571	$	253,105		$	679,192
Lord Abbett Developing Growth Fund, Inc.-Class I	565,275	–	(28,932	)	536,343		14,572,449		433,693			–
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I	3,065,556	104,688	(38,857	)	3,131,387		43,307,074		233,144			–
Lord Abbett Securities Trust-Growth Leaders Fund-Class I	1,850,156	29,777	(61,676	)	1,818,257		43,056,322		821,693			–
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I	1,609,169	281,603	(129,577	)	1,761,195		43,149,277		6,591,408	(a)		–
Lord Abbett Securities Trust-International Core Equity Fund-Class I	2,392,171	180,054	(29,725	)	2,542,500		34,374,595		120,962			470,230
Lord Abbett Securities Trust-International Opportunities Fund-Class I	1,258,934	110,663	(108,112	)	1,261,485		22,795,039		1,752,353	(b)		295,428
Lord Abbett Securities Trust-Value Opportunities Fund-Class I	1,372,877	8,931	(20,007	)	1,361,801		28,502,499		163,575			–
Total						$	287,244,826	$	10,369,933		$	1,444,850

(a)	Includes $5,233,389 of distributed capital gains.
(b)	Includes $606,483 of distributed capital gains.

73

Notes to Financial Statements (unaudited)(continued)

Multi-Asset Balanced Opportunity Fund
Affiliated Issuer	Balance of Shares Held at 11/30/2014	Gross Additions	Gross Sales		Balance of Shares Held at 5/31/2015	Fair Value at 5/31/2015		Net Realized Gain 12/1/2014 to 5/31/2015			Dividend Income 12/1/2014 to 5/31/2015
Lord Abbett Affiliated Fund, Inc.-Class I	1,094,993	966	(1,095,959	)	–	$	–	$	(201,769	)	$	15,754
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I	9,555,754	506,459	(155,637	)	9,906,576		211,505,400		744,581			–
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I	12,570,009	845,645	(291,079	)	13,124,575		291,365,573		1,317,324			–
Lord Abbett Investment Trust-Convertible Fund-Class I	15,263,418	3,633,949	–		18,897,367		238,673,749		20,124,817	(a)		3,826,530
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I	5,621,994	1,786,677	(367,349	)	7,041,322		78,017,853		152,989			842,715
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I	20,042,841	17,831,189	–		37,874,030		210,958,345		–			2,278,387
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I	1,285,074	211,154	(1,119,891	)	376,337		9,220,261		3,208,427	(b)		–
Lord Abbett Investment Trust-High Yield Fund-Class I	67,338,873	7,148,048	(8,643,145	)	65,843,776		506,997,079		12,760,667	(c)		14,995,979
Lord Abbett Securities Trust-International Dividend Income Fund-Class I	30,860,292	14,422,275	(127,703	)	45,154,864		367,560,597		16,206,556	(d)		4,761,468
Lord Abbett Mid Cap Stock Fund, Inc.-Class I	10,235,158	82,799	(1,352,728	)	8,965,229		240,895,697		14,726,559			2,123,795
Lord Abbett Investment Trust-Short Duration Income Fund-Class I	25,549,883	13,894,383	(19,095,485	)	20,348,781		90,552,073		(1,228,794	)		2,001,120
Total						$	2,245,746,627	$	67,811,357		$	30,845,748

(a)	Amount represents distributed capital gains.
(b)	Includes $4,195,381 of distributed capital gains.
(c)	Includes $11,576,864 of distributed capital gains.
(d)	Includes $16,218,637 of distributed capital gains.

74

Notes to Financial Statements (unaudited)(continued)

Multi-Asset Growth Fund
Affiliated Issuer	Balance of Shares Held at 11/30/2014	Gross Additions	Gross Sales		Balance of Shares Held at 5/31/2015	Fair Value at 5/31/2015		Net Realized Gain 12/1/2014 to 5/31/2015			Dividend Income 12/1/2014 to 5/31/2015
Lord Abbett Affiliated Fund, Inc.-Class I	5,643,275	42,178	(3,069,614	)	2,615,839	$	43,265,985	$	4,704,660		$	687,623
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I	6,631,984	525,208	(62,370	)	7,094,822		151,474,441		322,454			–
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I	9,070,300	688,689	(162,786	)	9,596,203		213,035,706		756,613			–
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I	2,364,631	1,109,124	(281,737	)	3,192,018		35,367,559		126,561			349,588
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I	762,399	121,931	(633,777	)	250,553		6,138,559		1,920,473	(a)		–
Lord Abbett Investment Trust-High Yield Fund-Class I	37,266,384	5,113,550	(4,328,867	)	38,051,067		292,993,216		5,551,294	(b)		8,514,033
Lord Abbett Securities Trust-International Dividend Income Fund-Class I	20,261,813	13,272,308	(108,526	)	33,425,595		272,084,340		11,322,012	(c)		3,437,511
Lord Abbett Mid Cap Stock Fund, Inc.-Class I	7,418,853	449,302	(261,216	)	7,606,939		204,398,453		2,697,486			1,539,412
Lord Abbett Investment Trust-Short Duration Income Fund-Class I	6,224,959	9,067,919	(3,421,451	)	11,871,427		52,827,852		(196,443	)		701,166
Total						$	1,271,586,111	$	27,205,110		$	15,229,333

(a)	Includes $2,489,006 of distributed capital gains.
(b)	Includes $6,450,718 of distributed capital gains.
(c)	Includes $11,286,839 of distributed capital gains.

75

Notes to Financial Statements (unaudited)(continued)

						Multi-Asset Income Fund
Affiliated Issuer	Balance of Shares Held at 11/30/2014	Gross Additions	Gross Sales		Balance of Shares Held at 5/31/2015		Fair Value at 5/31/2015	Net Realized Gain 12/1/2014 to 5/31/2015				Dividend Income 12/1/2014 to 5/31/2015
Lord Abbett Affiliated Fund, Inc.-Class I	898,552	276,532	(1,175,084	)	–	$	–	$	116,028		$	7,983
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I	5,856,480	668,289	(703,912	)	5,820,857		129,223,028		1,839,595			–
Lord Abbett Investment Trust-Convertible Fund-Class I	18,437,082	3,278,005	(846,764	)	20,868,323		263,566,915		24,327,604	(a)		4,594,537
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I	6,384,403	2,086,205	(1,028,827	)	7,441,781		82,454,935		303,013			898,526
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I	24,869,213	18,326,947	(558,521	)	42,637,639		237,491,648		(331,233	)		2,660,701
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I	1,704,870	285,513	(1,399,806	)	590,577		14,469,136		4,282,900	(b)		–
Lord Abbett Investment Trust-High Yield Fund-Class I	114,475,224	7,548,491	(12,548,349	)	109,475,366		842,960,318		16,653,440	(c)		24,963,097
Lord Abbett Securities Trust-International Dividend Income Fund-Class I	24,112,766	12,877,477	(1,702,114	)	35,288,129		287,245,369		11,435,263	(d)		3,756,771
Lord Abbett Mid Cap Stock Fund, Inc.-Class I	4,760,063	35,944	(1,829,789	)	2,966,218		79,702,271		13,150,692			921,954
Lord Abbett Investment Trust-Short Duration Income Fund-Class I	142,470,675	21,556,012	(26,930,142	)	137,096,545		610,079,625		(2,799,295	)		12,182,818
Total						$	2,547,193,245	$	68,978,007		$	49,986,387

(a)	Includes $24,309,292 of distributed capital gains.
(b)	Includes $5,565,890 of distributed capital gains.
(c)	Includes $19,566,671 of distributed capital gains.
(d)	Includes $12,647,079 of distributed capital gains.

11. CUSTODIAN AND ACCOUNTING AGENT  

State Street Bank and Trust Company (“SSB”) is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.

12. INVESTMENT RISKS  

The Funds invest principally in the Underlying Funds and, as a result, a Fund’s performance is directly related to the Underlying Fund’s performance. Each Fund’s ability to meet its investment

76

Notes to Financial Statements (unaudited)(continued)

objective depends on the ability of the Underlying Funds to achieve their investment objectives and on the Fund’s particular allocation of assets among the Underlying Funds and the asset classes they represent. Consequently, a Fund is subject to the particular risks of the Underlying Funds in the proportion in which the Fund invests in them. The value of the Underlying Funds’ investments and the NAVs of the shares of both the Funds and their Underlying Funds will fluctuate in response to various market and economic factors related to the domestic and foreign equity and fixed income markets, as well as the financial condition and prospects of issuers in which the Underlying Funds invest.

Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund are subject to the general risks and considerations associated with investing in fixed income securities. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when rates fall, such prices tend to rise. Longer-term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to an Underlying Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which one or more of the Underlying Funds may invest. Some issuers, particularly of high-yield bonds, may default as to principal and/or interest payments after an Underlying Fund purchases their securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Underlying Fund. High-yield bonds are subject to greater price fluctuations, as well as additional risks.

Each Fund is subject to the general risks and considerations associated with equity investing. The value of an investment will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Underlying Funds invest. If an Underlying Fund’s assessment of market conditions or companies held in the Underlying Fund fail to produce the intended result, a Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.

Each Fund’s investment exposure to foreign (which may include emerging market) companies generally is subject to the risk that the value of securities issued by foreign companies may be adversely affected by political, economic and social volatility, lack of transparency, or inadequate regulatory and accounting standards, inadequate exchange control regulations, foreign taxes, higher transaction and other costs, and delays in settlement. The cost of a Fund’s potential use of forward currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing. The Underlying Fund’s investments in emerging market companies generally are subject to more risks than investments in developed market companies.

Because Multi-Asset Income Fund will be more heavily invested in fixed income funds than equity funds, it will be more affected by the risks associated with fixed income securities. Similarly, since Diversified Equity Strategy Fund generally will be invested in equity funds and Multi-Asset Growth Fund will be more heavily invested in equity funds than fixed income funds, each will be more affected by the risks associated with stocks and other equity investments. Given Multi-Asset Balanced Opportunity Fund’s more balanced allocation among fixed income funds and equity funds, it will be affected by risks associated with both equity and fixed income investments.

Each Fund may invest in derivatives, either directly or through its Underlying Funds. Each fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as

77

Notes to Financial Statements (unaudited)(continued)

liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.

These factors can affect each Fund’s performance.

13. SUMMARY OF CAPITAL TRANSACTIONS  

Transactions in shares of beneficial interest were as follows:

	Six Months Ended
		May 31, 2015						Year Ended
Diversified Equity Strategy Fund					(unaudited)			November 30, 2014
Class A Shares		Shares			Amount			Shares			Amount
Shares sold			999,329		$	20,996,416			1,382,387		$	29,277,937
Converted from Class B*			48,561			54,832			26,412			568,203
Reinvestment of distributions			1,103,421			21,296,021			737,949			15,135,328
Shares reacquired			(951,398	)		(18,972,363	)		(1,997,653	)		(42,190,105	)
Increase			1,199,913		$	23,374,906			149,095		$	2,791,363
Class B Shares
Shares sold			1,399		$	29,103			21,736		$	467,535
Reinvestment of distributions			43,439			822,745			35,255			711,097
Shares reacquired			(24,465	)		(1,396,546	)		(79,492	)		(1,657,523	)
Converted to Class A*			(49,582	)		(54,832	)		(26,982	)		(568,203	)
Decrease			(29,209	)	$	(599,530	)		(49,483	)	$	(1,047,094	)
Class C Shares
Shares sold			284,175		$	5,489,847			589,792		$	12,203,876
Reinvestment of distributions			429,020			8,082,739			269,816			5,423,294
Shares reacquired			(326,195	)		(6,397,750	)		(587,030	)		(12,164,786	)
Increase			387,000		$	7,174,836			272,578		$	5,462,384
Class F Shares
Shares sold			44,591		$	882,261			80,728		$	1,717,457
Reinvestment of distributions			23,777			458,664			14,121			289,471
Shares reacquired			(61,183	)		(1,198,191	)		(63,184	)		(1,336,659	)
Increase			7,185		$	142,734			31,665		$	670,269
Class I Shares
Shares sold			53,283		$	1,043,232			152,785		$	3,276,841
Reinvestment of distributions			86,200			1,674,875			42,111			868,746
Shares reacquired			(7,209	)		(139,519	)		(99,586	)		(2,156,379	)
Increase			132,274		$	2,578,588			95,310		$	1,989,208

78

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
Diversified Equity Strategy Fund	(unaudited)						November 30, 2014
Class R2 Shares	Shares			Amount			Shares			Amount
Shares sold		1,180		$	23,832			2,258		$	48,693
Reinvestment of distributions		1,617			31,672			880			18,289
Shares reacquired		(526	)		(10,554	)		(21,526	)		(472,094	)
Increase (decrease)		2,271		$	44,950			(18,388	)	$	(405,112	)
Class R3 Shares
Shares sold		90,745		$	1,781,330			193,541		$	4,093,035
Reinvestment of distributions		81,861			1,565,997			39,758			809,873
Shares reacquired		(28,006	)		(559,945	)		(69,943	)		(1,473,236	)
Increase		144,600		$	2,787,382			163,356		$	3,429,672

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

	Six Months Ended
	May 31, 2015						Year Ended
Multi-Asset Balanced Opportunity Fund	(unaudited)						November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		17,217,585		$	212,933,342			24,252,111		$	305,828,651
Converted from Class B*		302,483			763,096			481,678			6,084,420
Reinvestment of distributions		8,877,326			106,849,467			5,146,370			64,279,806
Shares reacquired		(11,439,848	)		(139,433,292	)		(21,090,662	)		(266,312,473	)
Increase		14,957,546		$	181,112,613			8,789,497		$	109,880,404
Class B Shares
Shares sold		47,855		$	585,231			119,327		$	1,482,728
Reinvestment of distributions		177,335			2,131,953			119,798			1,487,528
Shares reacquired		(267,521	)		(6,189,711	)		(581,608	)		(7,339,652	)
Converted to Class A*		(302,780	)		(763,096	)		(482,142	)		(6,084,420	)
Decrease		(345,111	)	$	(4,235,623	)		(824,625	)	$	(10,453,816	)
Class C Shares
Shares sold		7,074,791		$	85,794,629			10,702,010		$	134,610,239
Reinvestment of distributions		1,953,368			23,370,508			853,449			10,603,330
Shares reacquired		(3,467,727	)		(42,043,080	)		(4,072,565	)		(51,197,948	)
Increase		5,560,432		$	67,122,057			7,482,894		$	94,015,621
Class F Shares
Shares sold		2,454,503		$	29,851,284			4,898,900		$	61,799,336
Reinvestment of distributions		385,420			4,635,514			133,205			1,678,170
Shares reacquired		(1,774,594	)		(21,677,266	)		(1,316,048	)		(16,492,526	)
Increase		1,065,329		$	12,809,532			3,716,057		$	46,984,980
Class I Shares
Shares sold		237,365		$	2,890,754			650,964		$	8,220,947
Reinvestment of distributions		175,783			2,115,629			115,229			1,437,634
Shares reacquired		(383,974	)		(4,689,521	)		(902,263	)		(11,348,491	)
Increase (decrease)		29,174		$	316,862			(136,070	)	$	(1,689,910	)

79

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
Multi-Asset Balanced Opportunity Fund	(unaudited)						November 30, 2014
Class P Shares	Shares			Amount			Shares			Amount
Shares sold		20,688		$	248,338			8,352		$	104,828
Reinvestment of distributions		7,348			88,071			5,129			63,603
Shares reacquired		(38,759	)		(470,289	)		(37,254	)		(463,069	)
Decrease		(10,723	)	$	(133,880	)		(23,773	)	$	(294,638	)
Class R2 Shares
Shares sold		10,303		$	128,031			28,628		$	366,469
Reinvestment of distributions		7,645			93,527			5,035			63,684
Shares reacquired		(37,537	)		(458,838	)		(72,476	)		(931,154	)
Decrease		(19,589	)	$	(237,280	)		(38,813	)	$	(501,001	)
Class R3 Shares
Shares sold		632,053		$	7,672,840			874,472		$	11,000,518
Reinvestment of distributions		210,940			2,532,580			120,915			1,506,072
Shares reacquired		(413,815	)		(5,059,381	)		(913,277	)		(11,508,755	)
Increase		429,178		$	5,146,039			82,110		$	997,835

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

	Six Months Ended
	May 31, 2015						Year Ended
Multi-Asset Growth Fund	(unaudited)						November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		5,989,230		$	109,369,983			8,225,901		$	155,055,410
Converted from Class B*		126,876			896,326			210,704			3,966,866
Reinvestment of distributions		4,443,220			79,241,060			2,914,783			53,581,868
Shares reacquired		(4,282,339	)		(77,393,670	)		(7,832,928	)		(147,345,727	)
Increase		6,276,987		$	112,113,699			3,518,460		$	65,258,417
Class B Shares
Shares sold		13,426		$	239,584			48,858		$	910,687
Reinvestment of distributions		108,689			1,924,053			90,061			1,637,628
Shares reacquired		(79,144	)		(2,818,203	)		(236,905	)		(4,410,442	)
Converted to Class A*		(127,802	)		(896,326	)		(212,154	)		(3,966,866	)
Decrease		(84,831	)	$	(1,550,892	)		(310,140	)	$	(5,828,993	)
Class C Shares
Shares sold		3,071,731		$	54,801,360			3,334,640		$	62,308,573
Reinvestment of distributions		1,031,707			18,241,714			551,249			10,035,984
Shares reacquired		(1,164,027	)		(20,860,835	)		(1,462,444	)		(27,323,228	)
Increase		2,939,411		$	52,182,239			2,423,445		$	45,021,329
Class F Shares
Shares sold		1,743,334		$	31,347,404			2,674,235		$	50,409,805
Reinvestment of distributions		248,719			4,435,025			62,189			1,148,155
Shares reacquired		(904,462	)		(16,388,103	)		(806,481	)		(15,294,760	)
Increase		1,087,591		$	19,394,326			1,929,943		$	36,263,200

80

Notes to Financial Statements (unaudited)(continued)

	Six Months Ended
	May 31, 2015						Year Ended
Multi-Asset Growth Fund				(unaudited)			November 30, 2014
Class I Shares	Shares			Amount			Shares			Amount
Shares sold		106,605		$	1,902,503			147,469		$	2,848,487
Reinvestment of distributions		56,116			1,006,307			26,332			484,705
Shares reacquired		(37,366	)		(689,896	)		(31,636	)		(607,935	)
Increase		125,355		$	2,218,914			142,165		$	2,725,257
Class P Shares
Reinvestment of distributions		10.390		$	187			11.140		$	205
Shares reacquired		–			–			(95.950	)		(1,795	)
Increase (decrease)		10.390		$	187			(84.810	)	$	(1,590	)
Class R2 Shares
Shares sold		1,598.67		$	29,234			9,047.00		$	170,589
Reinvestment of distributions		1,172.85			21,239			653.83			12,177
Shares reacquired		(4,159.26	)		(76,185	)		(2,870.09	)		(55,219	)
Increase (decrease)		(1,387.74	)	$	(25,712	)		6,830.74		$	127,547
Class R3 Shares
Shares sold		301,366		$	5,447,202			361,097		$	6,762,147
Reinvestment of distributions		127,953			2,275,875			73,341			1,344,366
Shares reacquired		(115,242	)		(2,083,502	)		(232,300	)		(4,353,922	)
Increase		314,077		$	5,639,575			202,138		$	3,752,591

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

	Six Months Ended
	May 31, 2015						Year Ended
Multi-Asset Income Fund	(unaudited)						November 30, 2014
Class A Shares	Shares			Amount			Shares			Amount
Shares sold		13,014,883		$	197,917,083			44,886,134		$	709,268,057
Converted from Class B*		37,605			357,765			60,937			960,596
Reinvestment of distributions		3,559,029			53,581,065			3,092,114			48,407,981
Shares reacquired		(13,978,379	)		(212,274,198	)		(16,272,933	)		(256,987,018	)
Increase		2,633,138		$	39,581,715			31,766,252		$	501,649,616
Class B Shares
Shares sold		12,926		$	199,437			32,411		$	518,659
Reinvestment of distributions		20,019			304,895			27,306			430,604
Shares reacquired		(53,671	)		(1,039,908	)		(71,362	)		(1,140,563	)
Converted to Class A*		(37,150	)		(357,765	)		(60,262	)		(960,596	)
Decrease		(57,876	)	$	(893,341	)		(71,907	)	$	(1,151,896	)
Class C Shares
Shares sold		9,969,345		$	153,410,722			27,724,805		$	443,089,020
Reinvestment of distributions		2,145,470			32,683,444			1,593,110			25,208,155
Shares reacquired		(6,111,851	)		(93,973,277	)		(6,371,461	)		(101,662,288	)
Increase		6,002,964		$	92,120,889			22,946,454		$	366,634,887

81

Notes to Financial Statements (unaudited)(concluded)

	Six Months Ended
	May 31, 2015						Year Ended
Multi-Asset Income Fund	(unaudited)						November 30, 2014
Class F Shares	Shares			Amount			Shares			Amount
Shares sold		8,502,255		$	129,084,022			30,830,482		$	487,732,265
Reinvestment of distributions		1,679,310			25,280,534			1,246,689			19,541,075
Shares reacquired		(11,837,503	)		(179,801,935	)		(9,533,371	)		(150,153,020	)
Increase (decrease)		(1,655,938	)	$	(25,437,379	)		22,543,800		$	357,120,320
Class I Shares
Shares sold		229,973		$	3,473,392			1,303,831		$	20,397,674
Reinvestment of distributions		58,711			879,825			34,337			538,047
Shares reacquired		(226,200	)		(3,413,275	)		(244,331	)		(3,866,177	)
Increase		62,484		$	939,942			1,093,837		$	17,069,544
Class R2 Shares
Shares sold		7,637		$	118,533			33,280		$	535,878
Reinvestment of distributions		727			11,175			651			10,400
Shares reacquired		(11,470	)		(178,800	)		(46,510	)		(757,495	)
Decrease		(3,106	)	$	(49,092	)		(12,579	)	$	(211,217	)
Class R3 Shares
Shares sold		255,081		$	3,883,015			336,687		$	5,320,513
Reinvestment of distributions		45,170			680,122			40,941			640,123
Shares reacquired		(132,920	)		(2,012,124	)		(132,784	)		(2,096,877	)
Increase		167,331		$	2,551,013			244,844		$	3,863,759

* Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.

14. RECENT ACCOUNTING PRONOUNCEMENT  

In June 2014, FASB issued ASU 2014–11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2015, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.

82

Investments in Underlying Funds (unaudited)

The Funds invests in Underlying Funds managed by Lord Abbett. As of May 31, 2015, each Fund’s long-term investments were allocated among the Underlying Funds as follows:

Diversified Equity Strategy Fund’s Investments:

Underlying Fund Name	% of Investments
Lord Abbett Affiliated Fund, Inc. – Class I		20.01%
Lord Abbett Developing Growth Fund, Inc. – Class I		5.07%
Lord Abbett Securities Trust – Fundamental Equity Fund – Class I		15.08%
Lord Abbett Securities Trust – Growth Leaders Fund – Class I		14.99%
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I		15.02%
Lord Abbett Securities Trust – International Core Equity Fund – Class I		11.97%
Lord Abbett Securities Trust – International Opportunities Fund – Class I		7.94%
Lord Abbett Securities Trust – Value Opportunities Fund – Class I		9.92%
Multi-Asset Balanced Opportunity Fund’s Investments:
Underlying Fund Name	% of Investments
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I		9.42%
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I		12.97%
Lord Abbett Investment Trust – Convertible Fund – Class I		10.63%
Lord Abbett Investment Trust – Core Fixed Income Fund – Class I		3.47%
Lord Abbett Global Fund, Inc. Emerging Markets Currency Fund – Class I		9.39%
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I		0.41%
Lord Abbett Investment Trust – High Yield Fund – Class I		22.58%
Lord Abbett Securities Trust – International Dividend Income Fund – Class I		16.37%
Lord Abbett Mid Cap Stock Fund, Inc. – Class I		10.73%
Lord Abbett Investment Trust – Short Duration Income Fund – Class I		4.03%
Multi-Asset Growth Fund’s Investments:
Underlying Fund Name	% of Investments
Lord Abbett Affiliated Fund, Inc. – Class I		3.40%
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I		11.91%
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I		16.75%
Lord Abbett Investment Trust – Core Fixed Income Fund – Class I		2.78%
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I		0.48%
Lord Abbett Investment Trust – High Yield Fund – Class I		23.04%
Lord Abbett Securities Trust – International Dividend Income Fund – Class I		21.4%
Lord Abbett Mid Cap Stock Fund, Inc. – Class I		16.08%
Lord Abbett Investment Trust – Short Duration Income Fund – Class I		4.16%
Multi-Asset Income Fund’s Investments:
Underlying Fund Name	% of Investments
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I		5.07%
Lord Abbett Investment Trust – Convertible Fund – Class I		10.35%
Lord Abbett Investment Trust – Core Fixed Income Fund – Class I		3.24%
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund – Class I		9.32%
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I		0.57%
Lord Abbett Investment Trust – High Yield Fund – Class I		33.09%
Lord Abbett Securities Trust – International Dividend Income Fund – Class I		11.28%
Lord Abbett Mid Cap Stock Fund, Inc. – Class I		3.13%
Lord Abbett Investment Trust – Short Duration Income Fund – Class I		23.95%

83

Investments in Underlying Funds (unaudited)(continued)

The Ten Largest Holdings and the Holdings by Sector, as of May 31, 2015, for each Underlying Fund are presented below. Each Underlying Fund’s annual and semiannual reports, which are sent to shareholders and filed with the SEC, contain information about the Underlying Fund’s portfolio holdings, including a complete schedule of holdings. A complete schedule of holdings for each Underlying Fund is also filed with the SEC on Form N-Q as of the end of each respective Underlying Fund’s first and third quarters. In addition, on or about the first day of the second month following each calendar quarter-end, each Fund makes publicly available a complete schedule of its portfolio holdings as of the last day of each such quarter. The information for the most recently ended calendar quarter may be viewed at www.lordabbett.com or requested at no charge by calling Lord Abbett at 888-522-2388.

Lord Abbett Affiliated Fund, Inc.

Ten Largest Holdings	% of Investments
Pfizer, Inc.	4.27%
Chevron Corp.	3.80%
JPMorgan Chase & Co.	3.63%
Intel Corp.	3.24%
Eli Lilly & Co.	2.91%
Apple, Inc.	2.62%
Ford Motor Co.	2.35%
Cisco Systems, Inc.	2.32%
Caterpillar, Inc.	2.17%
AT&T, Inc.	2.17%
Holdings by Sector*	% of Investments
Consumer Discretionary	8.15%
Consumer Staples	10.04%
Energy	9.97%
Financials	21.45%
Health Care	12.17%
Industrials	11.70%
Information Technology	12.21%
Materials	4.42%
Telecommunication Services	4.01%
Utilities	5.47%
Repurchase Agreement	0.41%
Total	100.00%

* A sector may comprise several industries.

84

Investments in Underlying Funds (unaudited)(continued)

Lord Abbett Equity Trust – Calibrated Large Cap Value Fund

Ten Largest Holdings	% of Investments
Pfizer, Inc.	4.14%
JPMorgan Chase & Co.	3.90%
Chevron Corp.	3.74%
Citigroup, Inc.	3.18%
Intel Corp.	2.60%
Aetna, Inc.	2.32%
Allstate Corp. (The)	2.26%
AT&T, Inc.	2.23%
Capital One Financial Corp.	2.04%
ConocoPhillips	1.92%
Holdings by Sector*	% of Investments
Consumer Discretionary	6.81%
Consumer Staples	6.55%
Energy	10.69%
Financials	30.21%
Health Care	14.47%
Industrials	10.39%
Information Technology	9.88%
Materials	2.68%
Telecommunication Services	2.23%
Utilities	5.57%
Repurchase Agreement	0.52%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund

Ten Largest Holdings	% of Investments
Fifth Third Bancorp	2.49%
Invesco Ltd.	2.45%
XL Group plc	2.38%
Whirlpool Corp.	2.32%
Community Health Systems, Inc.	2.26%
Mallinckrodt plc	2.15%
Hartford Financial Services Group, Inc. (The)	2.03%
Cardinal Health, Inc.	1.99%
Everest Re Group Ltd.	1.97%
Bunge Ltd.	1.94%

85

Investments in Underlying Funds (unaudited)(continued)

Holdings by Sector*	% of Investments
Consumer Discretionary	9.98%
Consumer Staples	3.47%
Energy	3.77%
Financials	33.03%
Health Care	10.49%
Industrials	9.10%
Information Technology	11.39%
Materials	6.97%
Utilities	11.18%
Repurchase Agreement	0.62%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Investment Trust – Convertible Fund

Ten Largest Holdings	% of Investments
Priceline Group, Inc. (The), 0.09%, 9/15/2021	3.97%
Yahoo!, Inc., Zero Coupon, 12/1/2018	3.22%
Actavis plc, 5.50%, TBA	2.96%
Tesla Motors, Inc., 1.25%, 3/1/2021	2.84%
MGIC Investment Corp., 9.00%, 4/1/2063	2.78%
Wells Fargo & Co., 7.50%, TBA	2.76%
Intel Corp., 3.25%, 8/1/2039	2.69%
Chesapeake Energy Corp., 5.75%, TBA	2.42%
Gilead Sciences, Inc., 1.625%, 5/1/2016	2.23%
Twitter, Inc., 1.00%, 9/15/2021	2.21%
Holdings by Sector*	% of Investments
Consumer Discretionary	13.16%
Consumer Staples	1.72%
Energy	7.57%
Financials	11.49%
Healthcare	19.55%
Industrials	1.67%
Materials	3.15%
Media	2.07%
Technology	32.43%
Telecommunications	0.86%
Transportation	2.60%
Utilities	1.45%
Repurchase Agreement	2.28%
Total	100.00%

* A sector may comprise several industries.

86

Investments in Underlying Funds (unaudited)(continued)

Lord Abbett Investment Trust – Core Fixed Income Fund

Ten Largest Holdings	% of Investments
U.S. Treasury Note, 1.25%, 11/30/2018	6.92%
U.S. Treasury Note, 1.375%, 4/30/2020	5.81%
U.S. Treasury Note, 0.625%, 2/15/2017	4.73%
U.S. Treasury Note, 0.625%, 8/31/2017	4.15%
U.S. Treasury Bond, 2.50%, 2/15/2045	3.80%
Federal National Mortgage Assoc., 4.00%, TBA	2.41%
Federal National Mortgage Assoc., 3.50%, TBA	1.80%
Federal National Mortgage Assoc., 4.50%, TBA	1.67%
U.S. Treasury Note, 1.75%, 4/30/2022	1.37%
Federal National Mortgage Assoc., 3.00%, TBA	1.36%
Holdings by Sector*	% of Investments
Auto	0.33%
Basic Industry	0.36%
Consumer Cyclicals	1.85%
Consumer Discretionary	0.31%
Consumer Services	0.98%
Consumer Staples	0.43%
Energy	2.46%
Financial Service	28.25%
Foreign Government	2.15%
Health Care	1.75%
Integrated Oil	1.55%
Materials and Processing	1.57%
Municipal	0.54%
Producer Durables	0.81%
Technology	0.87%
Telecommunications	1.17%
Transportation	0.38%
U.S. Government	49.07%
Utilities	1.29%
Repurchase Agreement	3.88%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Developing Growth Fund, Inc.

Ten Largest Holdings	% of Investments
EPAM Systems, Inc.	1.84%
FireEye, Inc.	1.66%
Bluebird Bio, Inc.	1.65%
Cavium, Inc.	1.64%
Gogo, Inc.	1.61%
WisdomTree Investments, Inc.	1.60%
IPG Photonics Corp.	1.54%
GrubHub, Inc.	1.53%
MarketAxess Holdings, Inc.	1.51%
IMAX Corp.	1.44%

87

Investments in Underlying Funds (unaudited)(continued)

Holdings by Sector*	% of Investments
Consumer Discretionary	14.50%
Consumer Staples	2.31%
Energy	0.73%
Financials	9.09%
Health Care	25.81%
Industrials	6.77%
Information Technology	38.78%
Utilities	0.16%
Repurchase Agreement	1.85%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund

Ten Largest Holdings	% of Investments
U.S. Treasury Note, 2.125%, 12/31/2015	2.69%
Marathon Oil Corp., 0.90%, 11/1/2015	0.99%
Citigroup Commercial Mortgage Trust 2015 – SSHP C, 2.28%, 9/15/2017	0.91%
LB-UBS Commercial Mortgage Trust 2006 – C6 AM, 5.41%, 9/15/2016	0.85%
Federal National Mortgage Assoc., 3.475%, 11/1/2040	0.85%
Citigroup Commercial Mortgage Trust 2015 – SSHP B, 1.83%, 9/15/2017	0.81%
Citigroup Commercial Mortgage Trust 2007 – C6 AM, 5.71%, 12/10/2049	0.69%
Aventura Mall Trust 2013 – AVM A, 3.87%, 12/5/2032	0.67%
Laclede Group, Inc. (The), 1.02%, 8/15/2017	0.65%
CD Commercial Mortgage Trust, 5.69%, 12/11/2049	0.64%
Holdings by Sector*	% of Investments
Asset Backed	20.00%
Automotive	1.15%
Banking	5.38%
Basic Industry	2.96%
Capital Goods	1.88%
Consumer Goods	1.35%
Energy	8.93%
Financial Services	2.65%
Foreign Government	0.03%
Healthcare	5.81%
Insurance	0.77%
Leisure	2.63%
Media	2.33%
Mortgage Backed	30.86%
Municipal	0.37%
Real Estate	2.71%
Retail	1.24%
Services	0.05%
Technology & Electronics	1.73%
Telecommunications	2.21%
Transportation	1.30%
U.S. Government	2.69%
Utility	0.97%
Total	100.00%

* A sector may comprise several industries.

88

Investments in Underlying Funds (unaudited)(continued)

Lord Abbett Securities Trust – Fundamental Equity Fund

Ten Largest Holdings	% of Investments
JPMorgan Chase & Co.	4.48%
Pfizer, Inc.	3.82%
Eli Lilly & Co.	3.42%
PepsiCo, Inc.	2.92%
General Dynamics Corp.	2.78%
UnitedHealth Group, Inc.	2.78%
Hartford Financial Services Group, Inc. (The)	2.70%
Mondelez International, Inc. Class A	2.68%
Chevron Corp.	2.65%
Intel Corp.	2.65%
Holdings by Sector*	% of Investments
Consumer Discretionary	6.23%
Consumer Staples	6.89%
Energy	9.84%
Financials	27.41%
Health Care	15.91%
Industrials	11.24%
Information Technology	12.65%
Materials	3.96%
Telecommunication Services	1.50%
Utilities	3.37%
Repurchase Agreement	1.00%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Securities Trust – Growth Leaders Fund

Ten Largest Holdings	% of Investments
Apple, Inc.	4.99%
Facebook, Inc. Class A	3.31%
Amazon.com, Inc.	3.06%
Netflix, Inc.	2.78%
Visa, Inc. Class A	2.49%
MasterCard, Inc. Class A	2.47%
Gilead Sciences, Inc.	1.99%
Walt Disney Co. (The)	1.90%
FireEye, Inc.	1.79%
Regeneron Pharmaceuticals, Inc.	1.75%
Holdings by Sector*	% of Investments
Consumer Discretionary	21.88%
Consumer Staples	2.40%
Financials	6.26%
Health Care	17.37%
Industrials	6.26%
Information Technology	43.38%
Repurchase Agreement	2.45%
Total	100.00%

* A sector may comprise several industries.

89

Investments in Underlying Funds (unaudited)(continued)

Lord Abbett Research Fund, Inc. – Growth Opportunities Fund

Ten Largest Holdings	% of Investments
Avago Technologies Ltd.	2.10%
Netflix, Inc.	1.95%
AutoZone, Inc.	1.78%
Moody’s Corp.	1.74%
Dollar General Corp.	1.62%
Expedia, Inc.	1.60%
Affiliated Managers Group, Inc.	1.51%
Ulta Salon, Cosmetics & Fragrance, Inc.	1.51%
Akamai Technologies, Inc.	1.43%
LinkedIn Corp. Class A	1.40%
Holdings by Sector*	% of Investments
Consumer Discretionary	25.56%
Consumer Staples	6.22%
Energy	1.07%
Financials	9.09%
Health Care	16.40%
Industrials	16.59%
Information Technology	21.12%
Materials	2.84%
Telecommunication Services	0.80%
Repurchase Agreement	0.31%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Investment Trust – High Yield Fund

Ten Largest Holdings	% of Investments
DISH DBS Corp., 5.875%, 7/15/2022		0.68%
AMC Networks, Inc., 4.75%, 12/15/2022		0.62%
WhiteWave Foods Co. (The), 5.375%, 10/1/2022		0.57%
MEG Energy Corp., 7.00%, 3/31/2024		0.57%
Seven Generations Energy Ltd., 8.25%, 5/15/2020		0.56%
Valeant Pharmaceuticals International, Inc., 6.375%, 10/15/2020		0.55%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.00%, 10/1/2021		0.55%
T-Mobile USA, Inc., 6.836%, 4/28/2023		0.54%
Sabine Pass Liquefaction LLC, 6.25%, 3/15/2022		0.46%
First Data Corp., 11.25%, 1/15/2021		0.45%

90

Investments in Underlying Funds (unaudited)(continued)

Holdings by Sector*	% of Investments
Asset Backed	0.12%
Automotive	2.28%
Banking	2.55%
Basic Industry	10.71%
Capital Goods	4.46%
Consumer Goods	5.42%
Energy	13.27%
Financial Services	4.10%
Foreign Sovereign	0.31%
Healthcare	9.15%
Insurance	0.91%
Leisure	6.74%
Media	9.58%
Real Estate	0.88%
Retail	8.17%
Services	2.67%
Technology & Electronics	6.47%
Telecommunications	5.70%
Transportation	2.25%
Utility	2.72%
Repurchase Agreement	1.54%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Securities Trust – International Core Equity Fund

Ten Largest Holdings	% of Investments
Heineken Holding NV	2.20%
Sumitomo Mitsui Financial Group, Inc.	2.15%
Imperial Tobacco Group plc	1.89%
Royal Dutch Shell plc Class A ADR	1.88%
Novartis AG Registered Shares	1.80%
Roche Holding AG	1.75%
Rio Tinto plc ADR	1.68%
Fresenius SE & Co. KGaA	1.67%
Safran SA	1.67%
Prudential plc	1.65%
Holdings by Sector*	% of Investments
Consumer Discretionary	12.28%
Consumer Staples	12.17%
Energy	5.66%
Financials	28.25%
Health Care	9.84%
Industrials	12.80%
Information Technology	6.97%
Materials	3.09%
Telecommunication Services	5.58%
Utilities	2.15%
Repurchase Agreement	1.21%
Total	100.00%

* A sector may comprise several industries.

91 

Investments in Underlying Funds (unaudited)(continued)

Lord Abbett Securities Trust – International Dividend Income Fund

Ten Largest Holdings	% of Investments
Baytex Energy Corp.	2.56%
Crescent Point Energy Corp.	2.48%
Royal Dutch Shell plc Class A ADR	2.40%
National Australia Bank Ltd.	2.29%
Total SA ADR	2.16%
Freenet AG	2.14%
Whitecap Resources, Inc.	2.01%
Imperial Tobacco Group plc	1.86%
Snam SpA	1.74%
Bank of China Ltd. H Shares	1.72%
Holdings by Sector*	% of Investments
Consumer Discretionary	15.56%
Consumer Staples	6.10%
Energy	13.33%
Financials	32.32%
Health Care	4.97%
Industrials	8.00%
Information Technology	2.26%
Materials	1.63%
Telecommunication Services	8.26%
Utilities	5.28%
Repurchase Agreement	2.29%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Securities Trust – International Opportunities Fund

Ten Largest Holdings	% of Investments
Indiabulls Housing Finance Ltd.	2.11%
Anima Holding SpA	1.68%
UDG Healthcare plc	1.65%
Sun Hung Kai & Co., Ltd.	1.60%
Arcadis NV	1.58%
Arrow Global Group plc	1.54%
Toyo Tire & Rubber Co., Ltd.	1.43%
Maeda Road Construction Co., Ltd.	1.43%
Loomis AB Class B	1.33%
Forbo Holding AG Registered Shares	1.30%

92

Investments in Underlying Funds (unaudited)(continued)

Holdings by Sector*	% of Investments
Consumer Discretionary	19.43%
Consumer Staples	5.55%
Energy	3.16%
Financials	24.56%
Health Care	2.91%
Industrials	22.04%
Information Technology	11.27%
Materials	4.37%
Telecommunication Services	1.04%
Utilities	2.33%
Repurchase Agreement	3.34%
Total	100.00%

* A sector may comprise several industries.

Lord Abbett Mid Cap Stock Fund, Inc.

Ten Largest Holdings	% of Investments
Hartford Financial Services Group, Inc. (The)	2.53%
XL Group plc	2.36%
Cigna Corp.	2.18%
International Paper Co.	2.07%
Invesco Ltd.	1.99%
Jones Lang LaSalle, Inc.	1.96%
Whirlpool Corp.	1.90%
PPL Corp.	1.82%
Wyndham Worldwide Corp.	1.81%
Fidelity National Information Services, Inc.	1.81%
Holdings by Sector*	% of Investments
Consumer Discretionary	10.73%
Consumer Staples	2.38%
Energy	4.97%
Financials	34.60%
Health Care	11.33%
Industrials	8.99%
Information Technology	10.94%
Materials	6.10%
Utilities	8.77%
Repurchase Agreement	1.19%
Total	100.00%

* A sector may comprise several industries.

93

Investments in Underlying Funds (unaudited)(continued)

Lord Abbett Investment Trust – Short Duration Income Fund

Ten Largest Holdings	% of Investments
U.S. Treasury Note, 2.125%, 12/31/2015	3.01%
Air Lease Corp., 5.625%, 4/1/2017	0.76%
Omega Healthcare Investors, Inc., 6.75%, 10/15/2022	0.64%
Host Hotels & Resorts LP, 6.00%, 11/1/2020	0.64%
Wachovia Bank Commercial Mortgage Trust 2007 – C31 AM, 5.59%, 4/15/2047	0.62%
BAMLL Commercial Mortgage Securities Trust 2014 – IP A, 2.72%, 6/15/2028	0.60%
Ladder Capital Commercial Mortgage Securities LLC 2014 – PKMD A, 2.86%, 11/14/2027	0.55%
Forest Laboratories, Inc., 4.375%, 2/1/2019	0.52%
Denali Borrower LLC / Denali Finance Corp., 5.625%, 10/15/2020	0.52%
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007 – 5 AM, 5.42%, 8/12/2048	0.50%
Holdings by Sector*	% of Investments
Auto	1.58%
Basic Industry	0.61%
Capital Goods	0.17%
Consumer Cyclicals	4.05%
Consumer Discretionary	1.46%
Consumer Non-Cyclical	0.02%
Consumer Services	1.34%
Consumer Staples	1.32%
Energy	5.93%
Financial Services	53.27%
Foreign Government	0.32%
Health Care	6.45%
Integrated Oils	1.82%
Materials and Processing	2.82%
Municipal	0.35%
Producer Durables	0.49%
Technology	2.80%
Telecommunications	1.99%
Transportation	0.94%
U.S. Government	9.59%
Utilities	1.84%
Repurchase Agreement	0.84%
Total	100.00%

*	A sector may comprise several industries.
94

Investments in Underlying Funds (unaudited)(concluded)

Lord Abbett Securities Trust – Value Opportunities Fund

Ten Largest Holdings	% of Investments
Signature Bank	2.23%
Akamai Technologies, Inc.	2.09%
Jarden Corp.	2.09%
HCC Insurance Holdings, Inc.	2.04%
Ryder System, Inc.	1.99%
East West Bancorp, Inc.	1.87%
Lam Research Corp.	1.82%
Pinnacle Foods, Inc.	1.81%
PerkinElmer, Inc.	1.77%
Marvell Technology Group Ltd.	1.76%

Holdings by Sector*	% of Investments
Consumer Discretionary	13.02%
Consumer Staples	2.45%
Energy	4.77%
Financials	26.59%
Health Care	9.85%
Industrials	12.66%
Information Technology	16.97%
Materials	6.62%
Telecommunication Services	1.23%
Utilities	5.81%
Repurchase Agreement	0.03%
Total	100.00%

*	A sector may comprise several industries.
	95

Supplemental Proxy Information

A joint special meeting of shareholders of each Fund and other funds of the Trust was held on December 4, 2014. The joint special meeting was held for the purpose of electing members of the Board. Shareholders elected the following nine (9) Trustees at the joint special meeting:

• E. Thayer Bigelow

• Robert B. Calhoun, Jr.

• Eric C. Fast

• Daria L. Foster

• Evelyn E. Guernsey

• Julie A. Hill

• Franklin W. Hobbs

• James M. McTaggart

• James L.L. Tullis

The results of the proxy solicitation on the preceding matter were as follows:

Lord Abbett Investment Trust

Nominee	Votes For	Votes Withheld
E. Thayer Bigelow	9,741,410,387.289	139,174,112.638
Robert B. Calhoun, Jr.	9,744,649,940.182	135,934,559.745
Eric C. Fast	9,747,037,109.749	133,547,390.178
Daria L. Foster	9,751,786,030.813	128,798,469.114
Evelyn E. Guernsey	9,752,515,061.052	128,069,438.875
Julie A. Hill	9,750,467,661.690	130,116,838.237
Franklin W. Hobbs	9,749,208,770.394	131,375,729.533
James M. McTaggart	9,749,740,533.092	130,843,966.835
James L.L. Tullis	9,748,690,350.111	131,894,149.816

96

Approval of Advisory Contract

The Board of Trustees of the Company, including all of the Trustees who are not interested persons of the Company or of Lord Abbett, annually considers whether to approve the continuation of the existing management agreement between each Fund and Lord Abbett. In connection with its most recent approval, the Board reviewed materials relating specifically to the management agreement, as well as numerous materials received throughout the course of the year, including information about each Fund’s investment performance compared to the performance of its benchmark. Before making its decision as to each Fund, the Board had the opportunity to ask questions and request further information, taking into account its familiarity with Lord Abbett gained through its meetings and discussions. These meetings and discussions included the examination of the portfolio management teams conducted by members of the Contract Committee, the deliberations of the Contract Committee, and discussions between the Contract Committee and Lord Abbett’s management.

The materials received by the Board as to each Fund included, but were not limited to: (1) information provided by Morningstar Associates, LLC (“Morningstar”) regarding the investment performance of the Fund compared to the investment performance of a group of funds in the same Morningstar investment category (the “performance peer group”) and the investment performance of one or more appropriate benchmarks; (2) information provided by Morningstar regarding the expense ratios, contractual and effective management fee rates, and other expense components for the Fund and one or more groups of funds in the same Morningstar category, with the same share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the projected expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability of the management agreement to Lord Abbett; (8) information provided by Lord Abbett regarding the investment management fees Lord Abbett receives from its other advisory clients maintaining accounts with a similar investment strategy as the Fund; (9) information regarding the distribution arrangements of the Fund; and (10) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.

Investment Management Services Generally. The Board considered the investment management services provided by Lord Abbett to each Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to the Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other.

Investment Performance. The Board reviewed each Fund’s investment performance in relation to that of the performance peer group, in each case as of various periods ended August 31, 2014. As to Multi-Asset Balanced Opportunity Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-year and three-year periods and below the median for the five-year and ten-year periods. As to Multi-Asset Growth Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-year and three-year periods and at the median for the

97

Approval of Advisory Contract (continued)

five-year period. As to Multi-Asset Income Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for each of the one-year, three-year, and five-year periods. As to Diversified Equity Strategy Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for each of the one-year, three-year, and five-year periods.

Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to each Fund, in light of its investment objective and discipline. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s investment management staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining investment management personnel.

Nature and Quality of Other Services. The Board considered the nature, quality, costs, and extent of compliance, administrative, and other services performed by Lord Abbett and the Distributor and the nature and extent of Lord Abbett’s supervision of third party service providers, including each Fund’s transfer agent and custodian.

Expenses. The Board considered the expense levels of each Fund and the expense levels of one or more corresponding expense peer groups. It also considered the projected expense levels of each Fund and how those levels would relate to those of the expense peer group and the amount and nature of the fees paid by shareholders. As to each of Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund, Multi-Asset Income Fund, and Diversified Equity Strategy Fund, the Board observed that the overall expense level was below the median of the expense peer group.

Profitability. As to each Fund, the Board considered the level of Lord Abbett’s profits in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. The Board concluded that the allocation methodology had a reasonable basis and was appropriate. It considered any profits realized by Lord Abbett in connection with the operation of each Fund, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund, and whether the amount of profit was fair for the management of the Fund. The Board also considered the profits realized from other business segments of Lord Abbett, which may benefit from or be related to the Fund’s business. The Board considered Lord Abbett’s profit margins in comparison with available industry data, both accounting for and ignoring marketing and distribution expenses, and how those profit margins could affect Lord Abbett’s ability to recruit and retain investment personnel. The Board recognized that Lord Abbett’s profitability was a factor in enabling it to attract and retain qualified investment management personnel to provide services to the Fund. The Board concluded that Lord Abbett’s profitability as to each Fund was not excessive.

Economies of Scale. As to each Fund, the Board considered whether there had been any economies of scale in managing the Fund, whether the Fund had appropriately benefited from any such economies of scale, and whether there was potential for realization of any further economies of scale. The Board concluded that each existing management fee schedule, with its breakpoint or breakpoints in the level of the management fee, adequately addressed any economies of scale in managing the applicable Fund.

Other Benefits to Lord Abbett. As to each Fund, the Board considered the character and amount of fees paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services. The Board also considered the revenues and

98

Approval of Advisory Contract (concluded)

profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with the Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also noted that Lord Abbett, as disclosed in the prospectuses of the Funds, has entered into revenue sharing arrangements with certain entities that distribute shares of the Funds.

Alternative Arrangements. As to each Fund, the Board considered whether, instead of approving continuation of the management agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the existing management agreements was in the best interests of each Fund and its shareholders and voted unanimously to approve the continuation of the management agreements. In considering whether to approve the continuation of the management agreement, the Board did not identify any single factor as paramount or controlling. This summary does not discuss in detail all matters considered.

99

Householding

The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.

Proxy Voting Policies, Procedures and Records

A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888–522–2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).

100

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	Lord Abbett Investment Trust
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.	Lord Abbett Diversified Equity Strategy Fund Lord Abbett Multi-Asset Balanced Opportunity Fund Lord Abbett Multi-Asset Growth Fund Lord Abbett Multi-Asset Income Fund	LASAF-3 (07/15)

Item 2:	Code of Ethics.
	Not applicable.
Item 3:	Audit Committee Financial Expert.
	Not applicable.
Item 4:	Principal Accountant Fees and Services.
	Not applicable.
Item 5:	Audit Committee of Listed Registrants.
	Not applicable.
Item 6:	Investments.
	Not applicable.
Item 7:	Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
	Not applicable.
Item 8:	Portfolio Managers of Closed-End Management Investment Companies.
	Not applicable.
Item 9:	Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
	Not applicable.
Item 10:	Submission of Matters to a Vote of Security Holders.
	Not applicable.
Item 11:	Controls and Procedures.

(a)

Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities.

(b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12: Exhibits.

(a)(1)	Code of Ethics. Not applicable.
(a)(2)	Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT.
(b)	Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002  is provided as a part of EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	LORD ABBETT INVESTMENT TRUST
	By:	/s/ Daria L. Foster
		Daria L. Foster
		President and Chief Executive Officer
Date: July 27, 2015

	By:	/s/ Joan A. Binstock
		Joan A. Binstock
		Chief Financial Officer and Vice President
Date: July 27, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

	By:	/s/ Daria L. Foster
		Daria L. Foster
		President and Chief Executive Officer
Date: July 27, 2015

	By:	/s/ Joan A. Binstock
		Joan A. Binstock
		Chief Financial Officer and Vice President
Date: July 27, 2015